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derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …
Persistent link: https://www.econbiz.de/10009786715
-run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …
Persistent link: https://www.econbiz.de/10010388609
integration ; misalignment ; second-generation panel unit-root and cointegration tests …
Persistent link: https://www.econbiz.de/10003891665
by applying "gsecond generation" panel cointegration techniques. A unique identification strategy for the selection of … sub-panels improves the robustness of panel cointegration tests and reveals that Laender finances are hardly sustainable. …
Persistent link: https://www.econbiz.de/10010388585
debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of … budget constraint ; unit roots ; cointegration ; fiscal sustainability ; economic history …
Persistent link: https://www.econbiz.de/10009535101
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10003202504
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...
Persistent link: https://www.econbiz.de/10012024535
analysis, we conduct formal tests on fiscal sustainability, including tests on stationarity and cointegration and the …
Persistent link: https://www.econbiz.de/10009709423
We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...
Persistent link: https://www.econbiz.de/10011447524
This paper puts forward a general statistical model in the time domain based on the concept of fractional integration. More specifically, in the proposed framework instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This approach...
Persistent link: https://www.econbiz.de/10015426970