Narrow search
Showing 1 - 10 of 4,646
Cover Image
Change Point in Panel Data with Small Fixed Panel Size : Ratio and Non-Ratio Test Statistics
Pestova, Barbora; Pesta, Michal - 2016
panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large number …-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is taken into …
Persistent link: https://www.econbiz.de/10014125734
Cover Image
Intercept Homogeneity Test for Fixed Effect Models Under Cross-Sectional Dependence : Some Insights
Basak, Gopal Krishna - 2015
empirical illustration to examine the Kuznets' U curve hypothesis with balanced panel data of Indian states is also provided …
Persistent link: https://www.econbiz.de/10013026751
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
Cover Image
Tests for Parameter Instability in Dynamic Factor Models
Han, Xu - 2014
We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used....
Persistent link: https://www.econbiz.de/10013063182
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
Cover Image
Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach
Beaulieu, Marie-Claude - 2016
Persistent link: https://www.econbiz.de/10012991257
Cover Image
Testing for Error Cross-Sectional Independence Using Pairwise Augmented Regressions
Mao, Guangyu - 2016
panel data model by virtue of PAR (Pairwise Augmented Regressions). The tests based on the two statistics are extensions to …
Persistent link: https://www.econbiz.de/10012993392
Cover Image
Testing for clustering under switching
João, Igor Custodio - 2024
I refine the test for clustering of Patton and Weller (2022) to allow for cluster switching. In a multivariate panel … applied to the empirical setting of Bonhomme and Manresa (2015) of an autoregression of democracy in a panel of countries, we …
Persistent link: https://www.econbiz.de/10015053931
Cover Image
Estimation and inference in large heterogenous panels with cross section dependence
Pesaran, M. Hashem - 2003
Persistent link: https://www.econbiz.de/10001739585
Cover Image
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 …
Persistent link: https://www.econbiz.de/10014183168