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A pair-wise analysis of the law of one price: Evidence from the crude oil market

Giulietti, Monica; Iregui, Ana María; Otero, Jesús - In: Economics Letters 129 (2015) C, pp. 39-41

This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.

Persistent link: https://www.econbiz.de/10011263402

Testing for seasonal unit roots in heterogeneous panels

Otero, Jesus; Smith, Jeremy; Giulietti, Monica - In: Economics Letters 86 (2005) 2, pp. 229-235

Persistent link: https://www.econbiz.de/10005355396

Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence

Giulietti, Monica; Otero, Jesús; Smith, Jeremy - In: Economics Letters 101 (2008) 3, pp. 188-192

The cross-sectionally augmented IPS (CIPS) test of Pesaran (2007) is extended for a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized. However, a bootstrapped IPS test has better power performance than the 3D-CIPS, except for high levels of cross-sectional dependency.

Persistent link: https://www.econbiz.de/10005288012

Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

Otero, Jesus; Smith, Jeremy; Giulietti, Monica - In: Economics Letters 97 (2007) 2, pp. 179-184

Persistent link: https://www.econbiz.de/10005296525