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The Perils of Aggregating Foreign Variables in Panel Data Models
Ca'Zorzi, Michele - 2015
contributions in the context of static panel data models. The first is to show under what conditions the aggregation of foreign …
Persistent link: https://www.econbiz.de/10013036825
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10011605240
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Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Pesaran, M. Hashem - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10013143880
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The perils of aggregating foreign variables in panel data models
Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - 2012
contributions in the context of static panel data models. The first is to show under what conditions the aggregation of foreign …
Persistent link: https://www.econbiz.de/10011605489
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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo; Kapetanios, George - 2008
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10011604896
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Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling
Camba-Méndez, Gonzalo; Kapetanios, George - 2021
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10013316643
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Testing for Differences in Survey-Based Density Expectations : A Compositional Data Approach
Dovern, Jonas; Glas, Alexander; Kenny, Geoff - 2023
We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...
Persistent link: https://www.econbiz.de/10014257125
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Cointegration in panel data with breaks and cross-section dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2006
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel. …
Persistent link: https://www.econbiz.de/10011604637
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Do financial reforms help stabilize inequality?
Christopoulos, Dimitris; McAdam, Peter - 2015
We explore the relationship between financial reforms and income inequality using a panel of 29 countries over 1975 …-2005. We extend panel unit root tests to allow for the presence of some financial-reform covariates and further suggest an …
Persistent link: https://www.econbiz.de/10011605825
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Cointegration in Panel Data with Breaks and Cross-Section Dependence
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2021
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel …
Persistent link: https://www.econbiz.de/10013317662