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Panel cointegration testing in the presence of a time trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …

Persistent link: https://www.econbiz.de/10003796158

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …

Persistent link: https://www.econbiz.de/10013044515

A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....

Persistent link: https://www.econbiz.de/10003817215

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

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 … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

Persistent link: https://www.econbiz.de/10009736650

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

Persistent link: https://www.econbiz.de/10003510803

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

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

Persistent link: https://www.econbiz.de/10011431982

Identification and inference in a simultaneous equation under alternative information sets and sampling schemes

Kiviet, J. F. - 2012

Persistent link: https://www.econbiz.de/10010190991

Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes

Kiviet, Jan F. - 2012

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

Persistent link: https://www.econbiz.de/10013097341

Simulated classical tests in the multiperiod multinomial probit model

Ziegler, Andreas - 2002

This paper compares direrent versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable...

Persistent link: https://www.econbiz.de/10001678183