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Testing of parameter's instability in a balanced panel : an application to real effective exchange rate for SAARC countries

Agiwal, Varun; Kumar, Jitendra; Sharma, Sumit Kumar - 2017

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

Persistent link: https://www.econbiz.de/10011785064

Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Zhu, Huanjun - 2015

This paper develops a method for testing for the presence of a single structural break in panel data models with …

Persistent link: https://www.econbiz.de/10013014830

Robust block bootstrap panel predictability tests

Westerlund, Joakim; Smeekes, Stephan - 2013

Persistent link: https://www.econbiz.de/10010199463

Bootstrapping the Hausman Test in Panel Data Models

Bole, Velimir Anton; Rebec, Peter - 2012

In the paper it is shown that in panel data models the Hausman test (HT) statistic can be considerably refined using … homoskedastic panel data model …

Persistent link: https://www.econbiz.de/10014068220

Are OECD macroeconomic variables trend stationary? : evidence from panel stationarity tests allowing for a structural break and cross-sectional dependence

Hadri, Kaddour; Rao, Yao - In: The Singapore economic review : journal of the Economic … 54 (2009) 3, pp. 427-440

Persistent link: https://www.econbiz.de/10003882985

Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic … panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between … quality of most asymptotic approximations; therefore, the accurate estimation of this nuisance parameter is investigated. A …

Persistent link: https://www.econbiz.de/10011654182

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Persistent link: https://www.econbiz.de/10010476668

For which countries did PPP hold? : a multiple testing approach

Hanck, Christoph (contributor) - 2006

We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has...

Persistent link: https://www.econbiz.de/10003394646

Savings and investments in the OECD, 1970 - 2007 : a test of panel cointegration with regime changes

Di Iorio, Francesca; Fachin, Stefano - In: The North American journal of economics and finance : a … 28 (2014), pp. 59-76

Persistent link: https://www.econbiz.de/10010461177