In this paper, three innovative panel error correction model (PECM) tests are proposed. These tests are based on the multivariate versions of the Wald (W), Likelihood Ratio (LR) and Lagrange Multiplier (LM) tests. By means of Monte Carlo simulations, the size and power properties of the tests...

The need to establish the relative superiority of each treatment/group when compared to all the others, that is ordering the effects with respect to the underlying populations, often occurs in many multivariate studies especially in the bio-medical field. Within the framework of multivariate...

We consider a multivariate version of the Diebold–Mariano test for equal predictive ability of three or more forecasting models. The Wald-type test, S, which has a null distribution that is asymptotically chi-squared, is shown to be generally invariant with respect to the ordering of the...

In this paper we propose the use of a sequential multivariate approach to test for convergence. These tests allow us to reconcile the time series literature with the cross-sectional dimension which is basic when testing for convergence in regional blocs. In addition, this methodology helps to...

This paper deals with a multivariate long memory model for the specification of real output in the US, the UK, and Canada. We examine the orders of integration of the three time series first individually and then allow cross dependence between observations. Performing univariate analysis,...

Fractional matrix operator methods are introduced as a new tool of distribution theory for use in multivariate analysis and econometrics. Earlier work by the author on this operational calculus is reviewed and to illustrate the use of these methods we give an exact distribution theory for a...