This paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled least squares estimate in the spurious panel regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit...

Most empirical evidence suggest that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to the low...

Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has e.g. been shown by Banerjee, Marcellino and Osbat (2004, 2005) via Monte Carlo simulations. Several studies have...

First, we investigate the minimal order univariate representation of some well known n-dimensionalconditional volatility models. Even simple low order systems (e.g. a multivariate GARCH(0,1)) forthe joint behavior of several variables imply individual processes with a lot of persistence inthe...

Copulas are the part of a multivariate distribution function that fully captures the cross sectional dependence between the variables of interest and they have become a very popular tool to model dependencies different from the linear correlation of elliptical distributions. We review the theory...

“Steer the economy” is an interactive game that shows the relationship between company decisions and macroeconomic dynamics. In this real time computer network simulation game the interaction between the players determines the macroeconomic results and players see within a short period the...

This paper proposes new error correction based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values are provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power...

We combine two approaches to causal reasoning. Granger-causality, on the one hand, is popular in fields like econometrics, where randomised experiments are not very common. Instead information about the dynamic development of a system is explicitly modelled and used to define potentially causal...

This paper compares the performance of three recently proposed estimators for dynamic panel data models (LSDV bias-corrected, MLE and MDE) along with GMM. Using Monte-Carlo, we find that MLE and biascorrected estimators have the smallest bias and are good alternatives for the GMM. System-GMM...

The purpose of this paper is to review and discuss the key improvements brought to OxGauss. Without having to install Gauss on his or her machine, the OxGauss user can run under Ox a wide range of Gauss programs and codes. Even with the console Ox version (free for academics), Gauss codes can...