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Testing for cointegration in dependent panels via residual-based bootstrap methods
Di Iorio, Francesca; Fachin, Stefano - 2007
estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coe …
Persistent link: https://www.econbiz.de/10015213380
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From Replications to Revelations: Heteroskedasticity-Robust Inference
Kranz, Sebastian - 2024
We compare heteroskedasticity-robust inference methods with a large-scale Monte Carlo study based on regressions from 155 reproduction packages of leading economic journals. The results confirm established wisdom and uncover new insights. Among well established methods HC2 standard errors with...
Persistent link: https://www.econbiz.de/10015214470
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Normality Testing- A New Direction
Islam, Tanweer ul - 2008
the best performing test against these distributions. It is found that Anderson-Darling statistic is the best option among …
Persistent link: https://www.econbiz.de/10015217698
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Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical … situations normal distributions may give a better approximation of the distribution of the LR test statistic. The main goal of … indicate that the noncentral chi-square distribution describes behavior of the LR test statistic well under small, moderate and …
Persistent link: https://www.econbiz.de/10015218186
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Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical … situations normal distributions may give a better approximation of the distribution of the LR test statistic. The main goal of … indicate that the noncentral chi-square distribution describes behavior of the LR test statistic well under small, moderate and …
Persistent link: https://www.econbiz.de/10015218214
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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Koop, Gary; Korobilis, Dimitris - 2009
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10015220073
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Determination of stochastic vs. deterministic trend in quarterly GDP of Pakistan
Khan, Zahid; Asghar, Zahid - 2009
have explored the type of trend in GDP series by ADF unit root test and also support our arguments by empirical … distribution instead of asymptotical ones i.e., bootstrapping test. The purpose of the paper is not only to investigate the type of …
Persistent link: https://www.econbiz.de/10015221234
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A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007
Di Iorio, Francesca; Fachin, Stefano - 2010
In this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the … bootstrap test for panel cointegration robust to short- and long-run dependence across units. Thid test provides evidence of a …
Persistent link: https://www.econbiz.de/10015223673
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On testing equality of distributions of technical efficiency scores
Simar, Leopold; Zelenyuk, Valentin - 2004
context, we consider several approaches to adapt the Li (1996) test to the context and explore their performance in terms of … the size and the power of the test in various Monte Carlo experiments. One of these approaches showed good performance …
Persistent link: https://www.econbiz.de/10015225162
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Subset hypotheses testing and instrument exclusion in the linear IV regression
Doko Tchatoka, Firmin - 2010
. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on … level assumption of the identification may be misleading when potential relevant instruments are omitted. We propose an … identification holds, the asymptotic distribution of the LIML estimator of the identified linear combination is no longer a Gaussian …
Persistent link: https://www.econbiz.de/10015226151