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A Panel Bounds Testing Procedure
Bertsatos, Georgios; Sakellaris, Plutarchos; Tsionas, Mike - 2022
-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as … standard inference is not valid for at least one of the tests in our proposed panel BTP. Codes that generate sample …
Persistent link: https://www.econbiz.de/10013294020
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A New Poolability Test for Cointegrated Panels
Westerlund, Joakim - 2013
This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are …
Persistent link: https://www.econbiz.de/10013075469
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A Residual-Based Cointegration Test for Near Unit Root Variables
Hjalmarsson, Erik; Österholm, Pär - 2007
this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …
Persistent link: https://www.econbiz.de/10014221890
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Testing for breaks in the cointegrating relationship : on the stability of government bond markets' equilibrium
Rodrigues, Paulo M. M.; Sibbertsen, Philipp; Voges, Michelle - 2019 - This version: June 25, 2019
In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of … Breitung (2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new …
Persistent link: https://www.econbiz.de/10012026947
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Multiple Testing of the Forward Rate Unbiasedness Hypothesis Across Currencies
Fu, Hsuan; Luger, Richard - 2022
assessments of the FRUH across 13 currencies in an unbalanced panel. Multiplicity adjusted p-values reveal that the joint FRUH …
Persistent link: https://www.econbiz.de/10013403075
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Normality tests for latent variables
Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 981-1017
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...
Persistent link: https://www.econbiz.de/10012049323
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Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables
He, Ming; Lin, Kuan-pin - In: Econometrics : open access journal 3 (2015) 4, pp. 761-796
We propose a random effects panel data model with both spatially correlated error components and spatially lagged …
Persistent link: https://www.econbiz.de/10011411712
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A More Powerful Panel Unit Test with an Application to PPP
Lau, Chi Keung Marco - 2009
Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit …-Fuller and traditional panel data unit root test, however, when using the new test developed in this paper we find strong …
Persistent link: https://www.econbiz.de/10012764810
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Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors : An Application to Hedonic Housing Prices...
Baltagi, Badi H. - 2010
This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …
Persistent link: https://www.econbiz.de/10013137243
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Maximum likelihood estimation and lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors : an application to hedonic housing prices...
Baltagi, Badi H.; Bresson, Georges - 2010
This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …
Persistent link: https://www.econbiz.de/10009013035