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Tests of equal accuracy for nested models with estimated factors

Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit - 2015

Persistent link: https://www.econbiz.de/10011392844

Peter C. B. Phillips's contributions to panel data methods

Moon, Hyungsik Roger; Perron, Benoit - In: Econometric theory 30 (2014) 4, pp. 882-893

Persistent link: https://www.econbiz.de/10010502139

Efficient estimation of the seemingly unrelated regression cointegration model and testing for purchasing power parity

Moon, Hyungsik Roger; Perron, Benoit - In: Econometric reviews 23 (2004) 4, pp. 293-323

Persistent link: https://www.econbiz.de/10002514194

Tests of equal accuracy for nested models with estimated factors

Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit - In: Journal of econometrics 198 (2017) 2, pp. 231-252

Persistent link: https://www.econbiz.de/10011818789

An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors

Moon, Hyungsik Roger; Perron, Benoit - 2005

This paper studies nonstationarities in panels of exchange rates and interest rates. For this, we survey developments in the analysis of nonstationary panels with cross-sectional dependence modeled as a factor model. We focus on panel unit root tests and on inference on the nonstationary...

Persistent link: https://www.econbiz.de/10014061337