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Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

Kao, Chihwa - 2011

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

Persistent link: https://www.econbiz.de/10013127390

Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011

Persistent link: https://www.econbiz.de/10009381370

Meta-analytic cointegrating rank tests for dependent panels

Karaman Örsal, Deniz Dilan; Arsova, Antonia - 2015

combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The …

Persistent link: https://www.econbiz.de/10011392830

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 … simulation experiments. Finally, as an empirical illustration, we test weak exogeneity of disposable income and wealth in …

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

A test for strict stationarity

Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013

Persistent link: https://www.econbiz.de/10009711170

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10013107698