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Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

Persistent link: https://www.econbiz.de/10011409009

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28

standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

Persistent link: https://www.econbiz.de/10012265695

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

Cross-Section Dependence and the Monetary Exchange Rate Model : A Panel Analysis

Beckmann, Joscha; Belke, Ansgar Hubertus; Dobnik, Frauke - 2011

national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …

Persistent link: https://www.econbiz.de/10014183198

Trade Balances and the Terms of Trade in G-7 Countries : Panel Cointegration Approach

Hamori, Shigeyuki - 2009

This paper empirically analyzes the long-run equilibrium between trade balances and the terms of trade using the nonstationary panel data analysis. Empirical results indicate that trade balances and the terms of trade do not have cointegrating relation for G-7 countries. This implies that the...

Persistent link: https://www.econbiz.de/10014211849

Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels

Sender, Samuel J. - 2017

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...

Persistent link: https://www.econbiz.de/10012970628

Testing Weak Exogeneity in Cointegrated Panels

Moral-Benito, Enrique - 2013

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

Persistent link: https://www.econbiz.de/10013082067

Improving the Finite-Sample Estimators of Cointegrated Panel Models

Sender, Samuel J. - 2014

Though ordinary least square (OLS) estimates are super-consistent with cointegrated variables, their finite-T bias can be large in the presence of endogenous feedback. Fully modified OLS (FMOLS) are parsimonious tools to measure the cointegrating [long-run] slope between integrated variables in...

Persistent link: https://www.econbiz.de/10013064659

Does Competition Spur Innovation in North Africa? Evidence from a Panel ARDL Approach

Gani, Walid - 2022

2019. The second generation of panel unit root and cointegration tests have been used in our study. Based on the …

Persistent link: https://www.econbiz.de/10014241628