Similar Search Results

A Panic Attack on Unit Roots and Cointegration

Bai, Jushan; Ng, Serena - 2002

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...

Persistent link: https://www.econbiz.de/10014121962

Finite Sample Behaviour of the Level Shift Model using Quasi-Differenced Data

Rodriguez, Gabriel - Département d'Économie / Department of Economics, … - 2006

When using quasi-differenced data in a model where a break in the intercept is allowed, asymptotic distributions of the M, ADF, and PT statistics are the same as those in the model where only an intercept and a time trend are included. However, the finite sample behaviour for common sample sizes...

Persistent link: https://www.econbiz.de/10008491477

Productivity convergence and economic growth : a frontier production function approach

Cornwell, Christopher Mark; Wächter, Jens-Uwe - 1999

The empirical growth literature has focused on capital accumulation but largely ignored productivity growth. To address this imbalance, we propose a methodology for analyzing productivity convergence based on frontier production functions. We examine whether departures from the frontier are...

Persistent link: https://www.econbiz.de/10010466016

Comovement and catch-up in productivity across sectors : evidence from the OECD

Cornwell, Christopher Mark; Wächter, Jens-Uwe - 1999

A method for analyzing productivity convergence based on frontier production functions is proposed. It is examined whether departures from the frontier - country-level inefficiencies - exhibit long-run relationships and convergence. The method is applied to 1-digit industries of 14 OECD...

Persistent link: https://www.econbiz.de/10010466017

Testing for Additive Outliers in Seasonally Integrated Time Series

Haldrup, Niels; Montañés, Antonio; Sansó, Andreu - 2005

The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests...

Persistent link: https://www.econbiz.de/10014067033

A parameterization of models for unit root processes : structure theory and hypothesis testing

Bauer, Dietmar; Matuschek, Lukas; Ribeiro, Patrick de Matos - In: Econometrics : open access journal 8 (2020) 4/42, pp. 1-54

and (co)integration orders. The detailed analysis of the topological properties of the parameterization - based on the …

Persistent link: https://www.econbiz.de/10012312162

Empirical testing of purchasing power parity validity in selected European Union countries

Plošinjak, Jelko; Festić, Mejra - In: Naše gospodarstvo : NG 67 (2021) 4, pp. 13-32

exchange rate in a logarithm, while in the second phase, the cointegration of nominal exchange rate, domestic and foreign price … authors' knowledge, and taking into account Liu (1992), who states that it is more important to check the presence of co-integration … results suggest that all the real exchange rate time series are stationary, additionally, cointegration exists among all the …

Persistent link: https://www.econbiz.de/10012887177

Testing for unit roots with cointegrated data

Reed, W. Robert - 2015

This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...

Persistent link: https://www.econbiz.de/10011309691

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

Persistent link: https://www.econbiz.de/10001390729

Dickey-Fuller cointegration tests in the presence of regime shifts at known time

Hassler, Uwe - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 3, pp. 263-276

Persistent link: https://www.econbiz.de/10001760027