Similar Search Results

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa - 2011

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

Persistent link: https://www.econbiz.de/10013127238

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa; Chiang, Min-Hsien - 1997

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

Persistent link: https://www.econbiz.de/10014149909

Panel cointegration testing in the presence of linear time trends

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Econometrics : open access journal 4 (2016) 4, pp. 1-16

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under … demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the …

Persistent link: https://www.econbiz.de/10011650477

Chapter 4 The new empirics of economic growth

Durlauf, Steven N.; Quah, Danny T. - In: Handbook of macroeconomics : volume 1, part A, (pp. 235-308). 1999

We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....

Persistent link: https://www.econbiz.de/10014024246

Testing for Structural Change of a Time Trend Regression in Panel Data

Emerson, Jamie - 2011

In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models …

Persistent link: https://www.econbiz.de/10013127220

Quasi ML Estimation of the Panel AR(1) Model with Additional Regressors

Kruiniger, Hugo - 2019

Quasi ML estimators (MLEs) for panel AR(1) models with additional regressors. We also consider related GMM estimators. All … heteroskedasticity and are extensions and generalizations of the models considered in Kruiniger (2013. Quasi ML estimation of the panel …

Persistent link: https://www.econbiz.de/10012903818

Linear regression limit theory for nonstationary panel data

Phillips, Peter C. B.; Moon, Hyungsik Roger - 1999

Persistent link: https://www.econbiz.de/10001389313

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

Self-Normalization Inference for Linear Trends in Cointegrating Regressions

Cho, Cheol-Keun - 2022

This article highlights the importance of statistical tests on the trend coefficient in cointegrating regressions when the stochastic regressors contain a deterministic linear trend. In addition to deriving asymptotic theory for t statistics constructed using integrated and modified ordinary...

Persistent link: https://www.econbiz.de/10014078083

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Persistent link: https://www.econbiz.de/10013090381