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Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and autoregressive coefficient. This model is extension of univariate model proposed by Meligkotsiduo et al. (2004) and review of existing panel data time series model considering break...
Persistent link: https://www.econbiz.de/10011785064
Methods of inference based on a unit root assumption in the data are typically not robust to even small deviations from this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are generated by a near unit root process. A Bonferroni...
Persistent link: https://www.econbiz.de/10014221890
This paper proposes a new test of the null hypothesis that a generalized method of moments model is identified. The test can detect local or global underidentification, and underidentification in some or all directions. The idea of the test is to compare the volume of two confidence sets - one...
Persistent link: https://www.econbiz.de/10014112591
recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …
Persistent link: https://www.econbiz.de/10009582386
Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit root tests and makes it possible for researchers testing individual series for a unit root while taking contemporaneous cross-sectional dependence into account. The proposed...
Persistent link: https://www.econbiz.de/10012764810
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Persistent link: https://www.econbiz.de/10001387376
We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotic properties apply under the null...
Persistent link: https://www.econbiz.de/10014071206
We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...
Persistent link: https://www.econbiz.de/10014116819