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On the Existence of the Moments of the Asymptotic Trace Statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe- gration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration...

Persistent link: https://www.econbiz.de/10005489952

Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren, Econometrics Journal, 4, 2001, 109–142)

Örsal, Deniz Dilan Karaman; Droge, Bernd - In: Econometrics Journal 14 (2011) 02, pp. 121-125

Persistent link: https://www.econbiz.de/10011203101

Panel Cointegration Testing in the Presence of a Time Trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio (LR) test of Saikkonen & Lütkepohl (2000) for trend-adjusted data to the panel...

Persistent link: https://www.econbiz.de/10005652726

Fertility Reactions to the "Great Recession" in Europe

Goldstein, Joshua; Kreyenfeld, Michaela; Jasilioniene, Aiva - In: Demographic Research 29 (2013) 4, pp. 85-104

Persistent link: https://www.econbiz.de/10010851084

Comparison of Panel Cointegration Tests

Örsal, Deniz Dilan Karaman - In: Economics Bulletin 3 (2008) 6, pp. 1-20

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric...

Persistent link: https://www.econbiz.de/10005094765

Comparison of Panel Cointegration Tests

Örsal, Deniz Dilan Karaman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the group-p, the panel-t, the group-t statistics of Pedroni...

Persistent link: https://www.econbiz.de/10005784848

Comparison of Panel Cointegration Tests

Örsal, Deniz Dilan Karaman - In: Economics Bulletin 3 (2008) 6, pp. 1-20

Persistent link: https://www.econbiz.de/10010629569

Phillip Good: Permutation, parametric, and bootstrap tests of hypotheses

Droge, Bernd - In: Metrika 64 (2006) 2, pp. 249-250

Persistent link: https://www.econbiz.de/10005375931

Asymptotic properties of model selection procedures in linear regression

Droge, Bernd - Sonderforschungsbereich 373, Quantifikation und … - 2003

In regression analysis there is typically a large collection of competing models available from which we want to select an appropriate one. This paper is concerned with asymptotic properties of procedures for selecting linear models, which are based on certain data-dependent criteria such as...

Persistent link: https://www.econbiz.de/10010983440

Panel cointegration testing in the presence of a time trend

Örsal, Karaman; Dilan, Deniz; Droge, Bernd - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 377-390

A new likelihood-based panel cointegration test which allows a linear time trend in the data generating process is proposed. The test is an extension of the likelihood ratio type test with trend adjustment prior to testing to the panel data framework. Under the null hypothesis, the standardized...

Persistent link: https://www.econbiz.de/10011056515