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Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011646274

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015

The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...

Persistent link: https://www.econbiz.de/10010476668

Trade costs in services : firm survival, firm growth and implied changes in employment

Christen, Elisabeth; Pfaffermayr, Michael; Wolfmayr, Yvonne - 2019

This paper provides new insight into the firm-level employment impacts of trade cost changes at the industry level in the Austrian services sector. We apply a two-part model of firm survival (exit) and firm growth. Separate regressions for firm entry rates at the industry-region level complete...

Persistent link: https://www.econbiz.de/10012157327

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009

integration ; misalignment ; second-generation panel unit-root and cointegration tests …

Persistent link: https://www.econbiz.de/10003891665

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020

countries is examined applying a fractional cointegration method which tests for the possible existence of a long …

Persistent link: https://www.econbiz.de/10012219127

Long-run trends and cycles in US house prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

Persistent link: https://www.econbiz.de/10014427184

Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...

Persistent link: https://www.econbiz.de/10003808637

Budgetary and external imbalances relationship : a panel data diagnostic

Afonso, António; Rault, Christophe - 2009

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …

Persistent link: https://www.econbiz.de/10003808652

Payment innovations, the shadow economy and cash demand of households in euro area countries

Reimers, Hans-Eggert; Schneider, Friedrich; Seitz, Franz - 2020

panel cointegration framework. Besides the traditional determinants of cash demand like transactions balances and …

Persistent link: https://www.econbiz.de/10012291866

Cash in circulation and the shadow economy : an empirical investigation for Euro area countries and beyond

Seitz, Franz; Reimers, Hans-Eggert; Schneider, Friedrich - 2018

within a panel cointegration framework. Besides the total net issues, we distinguish between large, medium and small euro …

Persistent link: https://www.econbiz.de/10011872942