Sieve bootstrap tt-tests on long-run average parameters

Panel estimators can provide consistent measures of a long-run average parameter even if the individual regressions are spurious. However, the tt-test on this parameter is fraught with problems because the limit distribution of the test statistic is non-standard and rather complicated, particularly in panels with mixed (non-)stationary errors. A sieve bootstrap framework is suggested to approximate the distribution of the tt-statistic. An extensive Monte Carlo study demonstrates that the bootstrap is quite useful in this context.