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Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors

Stauskas, Ovidijus - 2021

A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264 …-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was … thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit …

Persistent link: https://www.econbiz.de/10013208900

Efficient inference on fractionally integrated panel data models with fixed effects

Robinson, Peter M.; Velasco, Carlos - In: Journal of Econometrics 185 (2015) 2, pp. 435-452

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

Persistent link: https://www.econbiz.de/10011190712

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Robinson, Peter M; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2013

A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as to estimate the fractional parameter. Like models with autoregressive...

Persistent link: https://www.econbiz.de/10011003915

A Bootstrap Cointegration Rank Test for Panels of VAR Models

Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010

bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models …

Persistent link: https://www.econbiz.de/10008752898

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …

Persistent link: https://www.econbiz.de/10010730130

Bootstrapping Error Component Models

Andersson, Michael K.; Karlsson, Sune - Economics Institute for Research (SIR), … - 1999

of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size …. There is thus little or no reason not to use the bootstrap with error component models. …

Persistent link: https://www.econbiz.de/10005649435

GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels

Robertson, Donald; Sarafidis, Vasilis; Westerlund, Joakim - Volkswirtschaftliche Fakultät, … - 2014

This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a small number of time periods and a large number of cross-section units, N. In the model that we consider the deterministic trend function is essentially unrestricted and the...

Persistent link: https://www.econbiz.de/10011259926

The power of PANIC

Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 495-509

the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC …

Persistent link: https://www.econbiz.de/10011190726

The effect of recursive detrending on panel unit root tests

Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 453-467

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend....

Persistent link: https://www.econbiz.de/10011190734

Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations

Stanescu, Silvia; Tunaru, Radu; Candradewi, Made Reina - In: International Review of Financial Analysis 34 (2014) C, pp. 177-188

In this paper the differences between forward and futures prices for the UK commercial property market are analyzed, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically significant over the study period. Further analysis...

Persistent link: https://www.econbiz.de/10010931488