Panel estimators can provide consistent measures of a long-run average parameter even if the individual regressions are spurious. However, the t-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 t-statistic. An extensive Monte Carlo study demonstrates that the bootstrap is quite useful in this context.
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