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Tests for serial correlation of unknown form in dynamic least squares regression with wavelets

Li, Meiyu; Gençay, Ramazan - In: Economics letters 155 (2017), pp. 104-110

Persistent link: https://www.econbiz.de/10011821626

Least squares asymptotics in spurious and cointegrated panel regressions with common and indiosyncratic stochastic trends

Urbain, Jean-Pierre; Westerlund, Joakim - In: Oxford bulletin of economics and statistics 73 (2011) 1, pp. 119-139

Persistent link: https://www.econbiz.de/10009011869

Using lasso-type penalties to model time-varying covariate effects in panel data regressions : a novel approach illustrated by the 'death of distance' in international trade

Hess, Wolfgang; Persson, Maria; Rubenbauer, Stephanie; … - 2013

When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects …. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized …

Persistent link: https://www.econbiz.de/10009722024

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

Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Kao, Chihwa - 1997

In the first half of the paper we study spurious regressions in panel data when the cross-section and time …-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of … LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study …

Persistent link: https://www.econbiz.de/10014060676

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 mean stability of heteroskedastic time series

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2015

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

Persistent link: https://www.econbiz.de/10011405222

Integrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regression

Veldhuis, Sebastian; Wagner, Martin - 2024

Persistent link: https://www.econbiz.de/10015163143

Integrated modified least squares estimation and (fixed-b) inference for systems of cointegrating multivariate polynomial regressions

Veldhuis, Sebastian; Wagner, Martin - 2024

We consider integrated modified least squares estimation for systems of cointegrating multivariate polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and products of these variables as regressors. The errors are allowed to be...

Persistent link: https://www.econbiz.de/10014529360

Quantile regression in reproducing kernel Hilbert spaces

Li, Youjuan; Liu, Yufeng; Zhu, Ji - In: Journal of the American Statistical Association : JASA 102 (2007) 477, pp. 255-268

Persistent link: https://www.econbiz.de/10003431146