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Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011

In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative...

Persistent link: https://www.econbiz.de/10014183168

Testing for Cointegration in Nonlinear Star Error Correction Models

Kapetanios, George; Shin, Yongcheol; Snell, Andy - 2005

-known residual-based test for cointegration in linear models by Engle and Granger (1987) and obtain its nonlinear analogue. We derive … cointegration, whereas the linear-based tests fail to do so. Further analysis of impulse response functions of error correction …

Persistent link: https://www.econbiz.de/10014076100

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben - 2020

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

Persistent link: https://www.econbiz.de/10012831312

Integrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regressions

Veldhuis, Sebastian; Wagner, Martin - 2024

We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be...

Persistent link: https://www.econbiz.de/10014529360

Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions

Vogelsang, Timothy J.; Wagner, Martin - 2024

This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...

Persistent link: https://www.econbiz.de/10014519282

Fully modified estimation in cointegrating polynomial regressions : extensions and Monte Carlo comparison

Lin, Yicong; Reuvers, Hanno - 2022

different FM estimators, multiple multivariate KPSS-type of tests for the null of cointegration are constructed. We then … performance of the proposed estimator and the implied test statistics for linear hypotheses and cointegration. …

Persistent link: https://www.econbiz.de/10013463978

Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?

Lin, Yicong; Reuvers, Hanno - 2022

The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...

Persistent link: https://www.econbiz.de/10013463979

Estimation of possibly non-stationary first-order auto-regressive processes

Martins, Ana Paula - 2016

This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....

Persistent link: https://www.econbiz.de/10011784570

Spurious Regression, Cointegration, and Near Cointegration : A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

Persistent link: https://www.econbiz.de/10014203187

Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

Persistent link: https://www.econbiz.de/10014357208