A bootstrap procedure for panel data sets with many cross-sectional units

Econometrics Journal

Volumn 11, Issue 2, 2008, Pages 377-395

  Kapetanios, G ^a  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Bootstrap; Panel data

Indexed keywords

EID: 47649112416     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00243.x     Document Type: Article

References (14)

1. Andrews, D. W. K. (2002). Higher order improvements of a computationally attractive k-step bootstrap for extremum estimators. Econometrica 70, 119-62.
2. Bai, J. (2003). Inferential theory for factor models of large dinensions. Econometrica 71, 135-73.
3. Bai, J. and S. Ng (2002). Determining the number of factors in approximate factor models. Econometrica 70, 191-221.
4. Bai, J. and S. Ng (2004). A PANIC attack on unit roots and cointegration. Econometrica 72, 1127-77.
5. Baltagi, B. H. (2001). Econometric Analysis of Panel Data. Chichester: Wiley.
6. Cameron, A. C. and P. K. Trivedi (2005). Microeconometrics: Methods and Applications. Cambridge: Cambridge University Press.
7. Davidson, J. (1994). Stochastic Limit Theory. Oxford: Oxford University Press.
8. Davison, A. C. (1997). Bootstrap Methods and their Application. Cambridge: Cambridge University Press.
9. Hall, P. (1992). The Bootstrap and Edgeworth Expansion, Springer Series in Statistics. New York: Springer-Verlag.
10. Hsiao, C. (2003). Analysis of Panel Data. Cambridge: Cambridge University Press.
11. Lahiri, S. N. (2003). Resampling Methods for Dependent Data. New York: Springer.
12. Pesaran, M. H. (2002). Estimation and inference in large heterogenous panels with cross-section dependence. DAE working paper No. 0305, University of Cambridge.
13. Phillips, P. C. B. and H. R. Moon (1999). Linear regression limit theory for nonstationary panel data. Econometrica 67, 1057-1111.
14. Stock, J. and M. W. Watson (1998). Diffusion indexes. Working paper 6702, National Bureau of Economic Research.