Search Results - subject:"Panel Unit Root Tests"

Chile´s Market Share in the EU Market: The Role of Price Competition in a Panel Analysis Setting

Felicitas Nowak-Lehmann D.; Herzer, Dierk; Vollmer, … - Ibero-Amerika Institut für Wirtschaftsforschung (IAI), … - 2006

It is the objective of this paper to analyze Chile’s development of market shares in the EU market in the period of 1988 to 2002, testing for the impact of price competitiveness on market shares with panel data. Price competitiveness is considered a decisive determinant of Chile’s market...

Persistent link: https://www.econbiz.de/10005593832

The Changing Dynamics of the East Asian Real Exchange Rates after the Financial Crisis: Further Evidence on Mean Reversion

Baharumshah, Ahmad Zubaidi; Chan, Tze-Haw; Aggarwal, Raj - Volkswirtschaftliche Fakultät, … - 2006

Using an improved statistical methodology including tests designed for heterogeneous panels, this paper tests for mean reversion in monthly US Dollar based real exchange rates for nine East Asian countries, including those that were severely affected by the 1997 Asian financial crises. The...

Persistent link: https://www.econbiz.de/10005835520

Money Demand and Disinflation in Selected CEECs during the Accession to the EU

Fidrmuc, Jarko - Volkswirtschaftliche Fakultät, … - 2006

A panel data set for six countries (Czech Republic, Hungary, Poland, Romania, Slovakia, and Slovenia) is used to estimate money demand with panel cointegration methods over the recent disinflation period. The basic money demand model is able to convincingly explain the long-run dynamics of M2 in...

Persistent link: https://www.econbiz.de/10005187338

The Error-in-Rejection Probability of Meta-Analytic Panel Tests

Hanck, Christoph - Institut für Wirtschafts- und Sozialstatistik, … - 2006

Meta-analytic panel unit root tests such as Fisher?s X2 test, which consist of pooling the p-values of time series unit …

Persistent link: https://www.econbiz.de/10009219849

Money demand and disinflation in selected CEECs during the accession to the EU

Fidrmuc, Jarko - 2006

. Keywords: Money demand, panel unit root tests, panel cointegration, direct inflation targeting, CEECs. JEL Classification: E … ca lcu lat ion s. 6 3. Panel Unit Root Tests Given the catching-up of the CEECs, we would expect the real money and … (1992) have significantly influenced the discussion of panel unit root tests for a panel of N individuals, where each …

Persistent link: https://www.econbiz.de/10003412391

Panel unit root tests in the presence of a multifactor error structure

Pesaran, M. Hashem; Vanessa Smith, L.; Yamagata, Takashi - In: Journal of Econometrics 175 (2013) 2, pp. 94-115

This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross-sectionally augmented Sargan–Bhargava statistics (CSB). The basic...

Persistent link: https://www.econbiz.de/10011052269

Purchasing Power Parity Hypothesis: Mixed Evidence from Eastern Europe Emerging Markets

Karabulut, Gokhan; Bilgin, Mehmet Huseyin; Gozgor, Giray - In: Emerging Markets Finance and Trade 49 (2013) S5, pp. 213-227

Poland by considering currencies of their five largest trading partners. We employ eight panel unit root tests that can be …

Persistent link: https://www.econbiz.de/10010741945

To converge or not converge: unit labor cost inflation in the Euro area

Herwartz, Helmut; Siedenburg, Florian - In: Empirical Economics 44 (2013) 2, pp. 455-467

In this article, convergence of unit labor cost (ULC) inflation within the Euro area is tested by means of panel unit … root tests. To account for the small cross-sectional dimension, cross-sectional dependence of model innovations and time …

Persistent link: https://www.econbiz.de/10010994415

Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization

Rufino, Cesar - In: Philippine Review of Economics 50 (2013) 1, pp. 57-82

This study explores the weak-form efficiency of the Philippine Stock Exchange (PSE) and its different sectoral markets using modern inference techniques with robust statistical properties. The research is motivated by the lack of consensus in the literature on the informational efficiency of the...

Persistent link: https://www.econbiz.de/10010674601

Unemployment Persistence and Inflation Convergence: Evidence from Regions of Turkey

GOZGOR, Giray - In: Regional and Sectoral Economic Studies 13 (2013) 1, pp. 55-64

As an emerging economy, Turkey has suffered from high unemployment rate, as well as major discrepancies among regional unemployment rates, even in the periods of rapid economic growth. In this study, we mainly investigate the unemployment persistence at the regional level for Turkey, and we...

Persistent link: https://www.econbiz.de/10010674752