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Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …

Persistent link: https://www.econbiz.de/10010289485

Testing for stationarity in a cointegrated system

Kunst, Robert M. - 2002

In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates … best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

Persistent link: https://www.econbiz.de/10010292762

Cointegration analysis with state space models

Wagner, Martin - 2010

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …

Persistent link: https://www.econbiz.de/10010294007

The Case Against JIVE

Davidson, Russell; MacKinnon, James G. - 2004

We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the "Jackknife Instrumental Variables Estimator," or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always...

Persistent link: https://www.econbiz.de/10011940653

Nonlinear cointegration analysis and the environmental Kuznets curve

Hong, Seung Hyun; Wagner, Martin - 2008

cointegration techniques. The EKC literature has failed to acknowledge that such regressions involve unit root nonstationary …-sample KPSS type cointegration test. We present simulation results illustrating the performance of the estimators and tests. In …

Persistent link: https://www.econbiz.de/10010294039

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Swanson, Norman R.; Chao, John C. - 2003

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983),...

Persistent link: https://www.econbiz.de/10010263213

Consistent Estimation with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...

Persistent link: https://www.econbiz.de/10010276817

Wild Bootstrap Tests for IV Regression

Davidson, Russell; MacKinnon, James G. - 2008

We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of...

Persistent link: https://www.econbiz.de/10011940749

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2011

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

Persistent link: https://www.econbiz.de/10010282842

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011

This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10010282856