Search Results - subject:"Panel Unit Root Tests"

New Panel Unit Root Tests under Cross Section Dependence for Practitioners

Sul, Donggyu - EconWPA - 2005

This paper studies the principle of common recursive mean adjustment and proposes a new detrending method in dynamic panel models. By utilizing recursive mean adjustment, this paper provides three unit root tests: a recursive mean adjusted (RMA) unit root test, a covariate RMA and a pooled...

Persistent link: https://www.econbiz.de/10005062577

Persistence in Corporate Performance? Empirical Evidence from Panel Unit Root Tests

Bentzen, Jan; Madsen, Erik; Smith, Valdemar; … - In: Empirica 32 (2005) 2, pp. 217-230

Persistent link: https://www.econbiz.de/10005680776

Regional convergence across European Union

Brasili, Cristina; Gutierrez, Luciano - EconWPA - 2004

to cluster around one or more poles of attraction, or divergence. The second uses panel unit root tests for cross … of per-capita income, we show that it converges toward the average pole, without convergence clubs emerging. Panel unit … root tests strongly reject the null of divergence for the full sample of regions and evidence is also provided for two …

Persistent link: https://www.econbiz.de/10005407685

Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests

Kapetanios, George - School of Economics and Finance, Queen Mary - 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/10005106348

Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels

Chortareas, Georgios; Kapetanios, George - School of Economics and Finance, Queen Mary - 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/10005106473

Panel Unit Root Tests under Cross- sectional Dependence

Das, Samarjit; Breitung, Joerg - Econometric Society - 2004

In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t-statistic under contemporaneous correlated errors is suggested. Second, the GLS t-statistic is considered, which is based on the t-statistic of...

Persistent link: https://www.econbiz.de/10005063717

The monetary approach to exchange rates in the CEECs

Crespo-Cuaresma, Jesús; Fidrmuc, Jarko; McDonald, Ronald - EconWPA - 2004

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/10005561077

Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks

Camarero, Mariam; Silvestre, Josep Lluis Carrion; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2004

This paper tests hysteresis effects in unemployment using panel data for 19 OECD countries covering the period 1956-2001. The tests exploit the cross-section variations of the series, and additionally, allow for a different number of endogenous breakpoints in the unemployment series. The...

Persistent link: https://www.econbiz.de/10005120760

Unemployment in the EU: Institutions, Prices and Growth

Karanassou, Marika; Sala, Hector; Snower, Dennis J. - C.E.P.R. Discussion Papers - 2004

This Paper presents a reappraisal of unemployment movements in the European Union. Our analysis is based on the chain reaction theory of unemployment, which focuses on (a) the interaction among labour market adjustment processes, (b) the interplay between these adjustment processes and the...

Persistent link: https://www.econbiz.de/10005124001

Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests

Bentzen, Jan; Madsen, Erik Strøjer; Smith, Valdemar; … - Nationalökonomisk Institut, Institut for Økonomi - 2004

firm profits. Data for firm-specific rates of return is applied in a set of panel unit root tests to address the question …

Persistent link: https://www.econbiz.de/10005198083