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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …

Persistent link: https://www.econbiz.de/10010187855

A likelihood ratio test for stationarity of rating transitions

Weissbach, Rafael; Walter, Ronja - 2008

; Panel data …

Persistent link: https://www.econbiz.de/10003837749

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

Persistent link: https://www.econbiz.de/10011305389

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

Persistent link: https://www.econbiz.de/10012405456

The Euro-Dollar exchange rate : is it fundamental?

Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002

-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus …

Persistent link: https://www.econbiz.de/10011538958

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10011604896

The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests : Monte Carlo Results and a Simple Test

Corradi, Valentina; Swanson, Norman R. - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

Persistent link: https://www.econbiz.de/10010263220

Testing for a break in persistence under long-range dependencies

Sibbertsen, Philipp; Kruse, Robinson - 2007

We show that tests for a break in the persistence of a time series in the classical I(0) - I(1) framework have serious size distortions when the actual data generating process exhibits long-range dependencies. We prove that the limiting distribution of a CUSUM of squares based test depends on...

Persistent link: https://www.econbiz.de/10010265681

Rational bubbles and fractional integration

Kruse, Robinson - 2008

In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...

Persistent link: https://www.econbiz.de/10010265683

Testing for a break in persistence under long-range dependencies and mean shifts

Sibbertsen, Philipp; Willert, Juliane - 2009

We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean...

Persistent link: https://www.econbiz.de/10010270042

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