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The Persistence of Suicides in G20 Countries between 1990 and 2017: an SPSM Approach to Three Generations of Unit Root Tests
Anyikwa, Izunna; Hamman, Nicolene; Phiri, Andrew - In: Comparative Economic Research. Central and Eastern Europe 24 (2021) 2, pp. 153-173
global suicide rates. In applying the sequential panel selection method (SPSM) to three generations of unit root testing …Suicides represent an encompassing measure of psychological wellbeing, emotional stability as well as life satisfaction … procedures, the study investigates the integration properties of suicides in G20 countries between 1990-2017. The results …
Persistent link: https://www.econbiz.de/10013204672
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Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests
Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11
mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …
Persistent link: https://www.econbiz.de/10014501140
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Fractionally Integrated Panel Data Systems
Ergemen, Yunus Emre - 2015
We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross …
Persistent link: https://www.econbiz.de/10013031907
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Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
Moon, Hyungsik Roger; Perron, Benoit - 2011
Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in … a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and …
Persistent link: https://www.econbiz.de/10014185969
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Unit root tests : the role of the univariate models implied by multivariate time series
Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...
Persistent link: https://www.econbiz.de/10011505987
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Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools
Davydenko, Andrey; Goodwin, Paul - 2021
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...
Persistent link: https://www.econbiz.de/10013314570
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can appear: I(1), I(2), seasonal, polynomial, etc. There are also different kinds of Vector Error Correction models related to these situations. We propose a unified theoretical and...
Persistent link: https://www.econbiz.de/10011499608
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified...
Persistent link: https://www.econbiz.de/10011554319
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VC : a method for estimating time-varying coefficients in linear models
Schlicht, Ekkehart - 2020
This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...
Persistent link: https://www.econbiz.de/10012161405
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VC - a method for estimating time-varying coefficients in linear models
Schlicht, Ekkehart - 2019
This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. This estimator does not require that disturbances are normally distributed, but if they are, the proposed estimator is asymptotically equivalent to the maximum likelihood...
Persistent link: https://www.econbiz.de/10011990906