Bootstrap Methods for Nonstationary Time Series and Panel Data


The objective of this project is to develop and analyze bootstrap methods for the analysis of
nonstationary time series and panel data that improve on the currently existing techniques. The
bootstrap is applied as it offers better performance in small samples than asymptotic methods that are
used to analyze economic and other time series. Moreover, the bootstrap offers robustness against
nuisance parameters, which is especially required for panel data with cross-sectional dependence. The
emphasis will be on the development of new valid bootstrap methods and on studying their theoretical
and practical properties in relation to the already existing techniques.


Scientific article

  • F.C. Palm, S.J.M. Smeekes, J.P. Urbain(2011): Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests Journal of Econometrics pp. 85 - 104
  • S.J.M. Smeekes, A.M.R. Taylor(2012): Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility Econometric Theory pp. 422 - 456
  • S.J.M. Smeekes(2013): Detrending Bootstrap Unit Root Tests Econometric Reviews pp. 869 - 891

Publications for the general public


Project number


Main applicant

Prof. dr. J.P. Urbain

Affiliated with

Maastricht University, School of Business and Economics, Maastricht Research School of Economics of Technology and Organizations (METEOR)

Team members

Dr. S.J.M. Smeekes


01/02/2010 to 06/08/2013