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Construction of Panel Data Through Record Linkage: Application to Hungarian Budget Surveys: 1987, 89, 91.

Jarvis, S.; Kattuman, P.A. - Faculty of Economics, University of Cambridge - 1996

This note describes the matching procedure used to construct panel data sets from the 1987, 1989 and 1991 Hungarian …

Persistent link: https://www.econbiz.de/10005783837

Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality

Knight, J.; Satchell, S. - Faculty of Economics, University of Cambridge - 1999

The authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the...

Persistent link: https://www.econbiz.de/10005783854

Testing for seasonal unit roots in heterogeneous panels

Otero, Jesus; Smith, Jeremy - Econometric Society - 2004

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...

Persistent link: https://www.econbiz.de/10005129780

Testing for Serial Correlation, Spatial Autocorrelation and Random Effects

Koh, Won; Jung, Byoung Cheol; Baltagi, Badi H.; Song, … - Econometric Society - 2004

This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as … across the spatial units using random effects. The paper then derives several Lagrange Multiplier tests for this panel data … Bera (1998) and in the panel data context by Baltagi, Song and Koh (2003). The second is the LM tests for the error …

Persistent link: https://www.econbiz.de/10005130168

Bootstrapping the HEGY Seasonal Unit Root Tests

Taylor, Robert; Burridge, Peter - Econometric Society - 2004

This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...

Persistent link: https://www.econbiz.de/10005130173

A simple estimation method and finite-sample inference for a stochastic volatility model

VALERY, Pascale - Econometric Society - 2004

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples. To do this, we examine method-of-moments-based...

Persistent link: https://www.econbiz.de/10005130214

The Cusum Test for Parameter Change in Regression with ARCH Errors

Maekawa, Koichi; Sangyeol; Lee - Econometric Society - 2004

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...

Persistent link: https://www.econbiz.de/10005130233

HERD BEHAVIOR IN THE JAPANESE LOAN MARKET: EVIDENCE FROM BANK PANEL DATA

Nakagawa, Ryuichi; Uchida, Hirofumi - Econometric Society - 2004

This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 through 2002. Applying the technique developed by Lakonishok, Shleifer, and Vishny (LSV) (1992, J. of Fin. Econ.) to the data of loans outstanding to different types of...

Persistent link: https://www.econbiz.de/10005130235

On Testing Sample Selection Bias under the Multicollinearity Problem

Yamagata. T. - Faculty of Economics, University of Cambridge - 2005

This paper examines and compares the finite sample performance of the existing tests for sample selection bias, especially under the multi-collinearity problem pointed out by Nawata (1993). The results show that under such multicollinearity problem, (i) the t-test for sample selection bias based...

Persistent link: https://www.econbiz.de/10005489305

Bounds Testing Approaches to the Analysis of Long-run Relationships

Pesaran, M. Hashem; Shin, Y.; Smith, R.J. - Faculty of Economics, University of Cambridge - 1999

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

Persistent link: https://www.econbiz.de/10005489331