SUMMARYThe objective of this paper is to examine the long-run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap test for panel cointegration analysis with dependent units. Monte Carlo simulations show that the test, based on the Continuous-Path Block bootstrap, has good power and size properties and is robust to both short-and long-run dependence across units. The empirical analysis points to income in the sending region as a key factor of the decline of migrations, with unemployment and income differentials playing only a minor role.

In this paper we compare Bartlett-corrected, bootstrap, and fast double bootstrap tests on maximum likelihood estimates of cointegration parameters. The key result is that both the bootstrap and the Bartlett-corrected tests must be based on the unrestricted estimates of the cointegrating vectors: procedures based on the restricted estimates have almost no power. The small sample size bias of the asymptotic test appears so severe as to advise strongly against its use with the sample sizes commonly available; the fast double bootstrap test minimizes size bias, while the Bartlett-corrected test is somehow more powerful.Bartlett correction, Bootstrap, Cointegration, Fast double bootstrap,

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may Abstract:Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a panel of 14 European countries over the 1960-2002 period. While the individual stability tests, contrary to expectations and graphical evidence, in almost all cases do not reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long-run relationship between these two variables is likely to have undergone a break. JEL: C23, C15

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Hypothesis testing on cointegrating vectors based on the asymptotic distributions of the test statistics are known to suffer from severe small sample size distortion. In this paper an alternative bootstrap procedure is proposed and evaluated through a Monte Carlo experiment, finding that the Type I errors are close to the nominal signficance levels but power might be not entirely adequate. It is then shown that a combined test based on the outcomes of both the asymptotic and the bootstrap tests will have both correct size and low Type II error, therefore improving the currently available procedures.

Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a panel of European countries over the 1960-2002 period. While the individual stability tests, contrary to expectations and graphical evidence, in almost all cases do not reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long-run relationship between these two variables is likely to have undergone a break. --cointegration,stationary bootstrap,parameter stability tests,FM-OLS

In this paper we test for the existence of a stable long-run savings–investments relationship in 18 OECD economies over the period 1970–2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual time series tests may have low power. We thus construct a new bootstrap test for panel cointegration robust to short- and long-run dependence across units. This test provides evidence of a long-run savings–investments relationship in most of the countries, with USA the most notable exception. However, the elasticities generally smaller than 1 suggest that market imperfections mostly cause only partial home biase

The relationship between national saving and investment over the long term is examined for six Gulf Arab oil-exporting developing countries -Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. We show that, provided some large outliers are properly accounted for, long-run equilibrium relationships between saving and investment (both total and fixed) exist in these countries. Since these countries have typically large current account surpluses such relationships cannot be explained by standard arguments.Our hypothesis is that the response of investment to saving largely depends on domestic absorptive capacity.JEL Codes: C32; E21; E22; H54; O16