Search Results - subject:"Panel Unit Root Tests"

Getting PPP right: Identifying mean-reverting real exchange rates in panels

Chortareas, Georgios; Kapetanios, George - 2004

when applied to a set of established panel-unit-root tests, allows to identify the real exchange rates that are stationary …

Persistent link: https://www.econbiz.de/10010284185

Dynamic factor extraction of cross-sectional dependence in panel unit root tests

Kapetanios, George - 2004

Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit … root tests. This paper adopts the factor based cross-sectional dependence paradigm of Bai and Ng (2004) but suggests …

Persistent link: https://www.econbiz.de/10010284222

Price Convergence across Regions in India

Das, Samarjit; Bhattacharya, Kaushik - University of Bonn, Germany - 2004

significant presence of cross-sectional de- pendence in prices in India, rendering some of the standard panel unit root tests … inapplicable. Using various panel unit root tests that are robust to cross-sectional dependence, it is found that relative price …

Persistent link: https://www.econbiz.de/10004989613

PPP: a Disaggregated View

Fischer, Christoph - Deutsche Bundesbank - 2004

a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to … PPP is invalid even if the LOP holds for all goods. The findings contrast with the result from panel unit root tests that …

Persistent link: https://www.econbiz.de/10005083081

The monetary approach to exchange rates in the CEECs

Crespo Cuaresma, Jesús; Fidrmuc, Jarko; MacDonald, Ronald - 2003

A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...

Persistent link: https://www.econbiz.de/10012148459

Determining the stationarity properties of individual series in panel datasets

Kapetanios, George - 2003

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null … alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the researcher is left with …

Persistent link: https://www.econbiz.de/10010284119

Currency boards in the EU accession process

VEYRUNE, Romain - Centre d'Études et de Recherches sur le Développement … - 2003

In 2002, fourteen countries were candidates for accession to the EU. A large number of them were ex-socialist countries. The Treaty on Monetary Union (1992) imposed several criteria as conditions for accession to the Monetary Union, independent from the EU accession. The “Euro accession”...

Persistent link: https://www.econbiz.de/10005016556

Optimal Seigniorage in Developing Countries: An Empirical Investigation

SEDIK, Tahsin SAADI - Centre d'Études et de Recherches sur le Développement … - 2003

This paper investigates the predictions of the theory of optimal seigniorage in developing countries over the period 1970-1999. The tax smoothing hypothesis, tested on forty selected developing countries, is rejected. However, the hypothesis that economies with high levels of expenditure and...

Persistent link: https://www.econbiz.de/10005016571

The monetary approach to exchange rates in the CEECs

Crespo-Cuaresma, Jesús; Fidrmuc, Jarko; McDonald, Ronald - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2003

Persistent link: https://www.econbiz.de/10005648580

On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

Im, K.S.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2003

This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of …

Persistent link: https://www.econbiz.de/10005113752