Showing 1 - 10 of 8,426
In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …
Persistent link: https://www.econbiz.de/10013127390
components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …
Persistent link: https://www.econbiz.de/10009736650
Persistent link: https://www.econbiz.de/10003510803
In the paper it is shown that in panel data models the Hausman test (HT) statistic can be considerably refined using … homoskedastic panel data model …
Persistent link: https://www.econbiz.de/10014068220
Inference for estimates of treatment effects with clustered data requires great care when treatment is assigned at the group level. This is true for both pure treatment models and difference-in-differences regressions. Even when the number of clusters is quite large, cluster-robust standard...
Persistent link: https://www.econbiz.de/10011722291
Persistent link: https://www.econbiz.de/10009381370
This paper considers estimation methods and inference for linear dynamic panel data models with unit … further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …
Persistent link: https://www.econbiz.de/10010342822
their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their … background we criticize aspects of many simulation studies that have been used in the past to compare competing estimators for … dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a …
Persistent link: https://www.econbiz.de/10011348362
Persistent link: https://www.econbiz.de/10003931103
for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor … ; response surface ; simulation …
Persistent link: https://www.econbiz.de/10009734682