Showing 1 - 10 of 131
The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the...
Persistent link: https://www.econbiz.de/10011190726
In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the...
Persistent link: https://www.econbiz.de/10011190733
This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend....
Persistent link: https://www.econbiz.de/10011190734
It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In...
Persistent link: https://www.econbiz.de/10011052261
terms are cross-sectionally but not temporally correlated (or vice versa), we show that the coefficients in the OLS …
Persistent link: https://www.econbiz.de/10010577511
In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence, where the individual-specific regressors enter the model nonparametrically whereas the common factors enter the model linearly. We consider both heterogeneous and homogeneous...
Persistent link: https://www.econbiz.de/10010577517
Traditional stochastic frontier models impose inefficient behavior on all firms in the sample of interest. If the data under investigation represent a mixture of both fully efficient and inefficient firms then off-the-shelf frontier models are statistically inadequate. We introduce the zero...
Persistent link: https://www.econbiz.de/10010594962
This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test...
Persistent link: https://www.econbiz.de/10010574088
We present the revealed preference conditions that characterize the data sets that are consistent with the maximization of a weakly separable utility function. We show that verifying these revealed preference conditions is np-hard. We also present an integer programming approach, which is...
Persistent link: https://www.econbiz.de/10011209280
In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test...
Persistent link: https://www.econbiz.de/10011052332