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Szafarz, Ariane; Flôres, Renato; Preumont, Pierre-Yves - Centre Emile Bernheim, Solvay Brussels School of … - 1995

This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table...

Persistent link: https://www.econbiz.de/10005558898

On the interpretation of panel unit root tests

Pesaran, M. Hashem - In: Economics Letters 116 (2012) 3, pp. 545-546

Applications of panel unit root tests have become commonplace in empirical economics, yet there are ambiguities as how … best to interpret the test results. This note clarifies that rejection of the panel unit root hypothesis should be … rejection, and in applications where the time dimension of the panel is relatively large, it recommends the test outcome to be …

Persistent link: https://www.econbiz.de/10010594095

The Performance of Acquisitions in the Real Estate Investment Trust Industry

Sahin, Olgun F. - 2006

This study examines the performance of acquisitions in the Real Estate Investment Trust (REIT) industry around the acquisition announcement and in the long-run. The results suggest that the acquiring REITs experience statistically significant negative abnormal returns while the target REITs earn...

Persistent link: https://www.econbiz.de/10012778901

Apartment Rent Prediction Using Spatial Modeling

Valente, James - 2006

This paper provides a new model to explain local variation in apartment rents by introducing the notion of a spatial process. This model differs from those in the literature by explicitly specifying spatial association between pairs of locations as a function of distance between them. Data on...

Persistent link: https://www.econbiz.de/10012778900

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - Society for Computational Economics - SCE - 2001

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … cointegrating properties of the underlying PVAR model. This transformed framework is also used to derive unit-root and cointegration … suggests that the ML estimator and the tests of hypotheses and cointegration that are based on it perform well in small samples …

Persistent link: https://www.econbiz.de/10005537759

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Binder, M.; Hsaio, C.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2000

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …

Persistent link: https://www.econbiz.de/10005113820

End-of-Sample Cointegration Breakdown Tests

Andrews, Donald W.K.; Kim, Jae-Young - School of Management, Yale University - 2004

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …

Persistent link: https://www.econbiz.de/10005368977

Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs

IORIO, Francesca DI; FACHIN, Stefano; LUCCHETTI, Riccardo - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2013

We review the I(2) model in the perspective of its application to near-I(2) data, and report the results of some Monte Carlo simulations on the small sample performance of asymptotic tests on the long-run coefficients in both I(2) and near-I(2) systems. Our findings suggest that these tests...

Persistent link: https://www.econbiz.de/10010878463

Testing for Structural Breaks

Gregory, Allan W.; Nason, James M. - Economics Department, Queen's University - 1991

to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the … failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients …

Persistent link: https://www.econbiz.de/10005688183

Weak exogeneity in partially nonstationary models

Aznar, Antonio; Salvador, Manuel - In: Spanish Economic Review 4 (2002) 2, pp. 139-150

adopting a particular identification regime which is based on a triangularization of the parameters of the cointegration …

Persistent link: https://www.econbiz.de/10005598188