Similar Search Results

A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models

Hjelm, Göran; Johansson, Martin W - Nationalekonomiska Institutionen, Ekonomihögskolan - 2002

In this paper we examine, by means of Monte Carlo simulation, the properties of the so called 'Pantula principle' for the simultaneous determination of rank and deterministic components in a vector error correction model. Examining the five models contained within the Johansen methodology, we...

Persistent link: https://www.econbiz.de/10005419365

Bandspectrum Cointegration

Andersson, Fredrik N. G. - Nationalekonomiska Institutionen, Ekonomihögskolan - 2008

. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The …

Persistent link: https://www.econbiz.de/10005419355

Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results

Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We … find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …

Persistent link: https://www.econbiz.de/10005645128

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; … - Nationalekonomiska Institutionen, Ekonomihögskolan - 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/10010734805

A Monte Carlo Study of the Necessary and Sufficient Conditions for Weak Separability

Hjertstrand, Per - Nationalekonomiska Institutionen, Ekonomihögskolan - 2008

Weak separability is an important concept in many fields of economic theory. This paper uses Monte Carlo experiments to investigate the performance of newly developed nonparametric revealed preference tests for weak separability. A main finding is that the bias of the sequentially implemented...

Persistent link: https://www.econbiz.de/10005645197

International Asset Pricing and the Benefits from World Market Diversification

Nilsson, Birger - Nationalekonomiska Institutionen, Ekonomihögskolan - 2002

This paper extends previous tests of the conditional CAPM using different asymmetric and non-diagonal multivariate GARCH-M specifications for eight large national markets and the world market simultaneously. To solve the well-known problems associated with the likelihood functions of...

Persistent link: https://www.econbiz.de/10005419351

Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated

Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006

In this paper, we study the size distortions of the KPSS test for stationarity when serial correlation is present and samples are small and medium-sized. It is argued that two distinct sources of the size distortions can be identified. The first source is the finite-sample distribution of the...

Persistent link: https://www.econbiz.de/10005419356

Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon

Graflund, Andreas; Nilsson, Birger - Nationalekonomiska Institutionen, Ekonomihögskolan - 2002

This paper investigates the questions of dynamic portfolio selection and intertemporal hedging within a Markovian regime-switching framework. The investment opportunity set is spanned by a well-diversified home-market portfolio and the risk-free asset. Our results highlight the economic...

Persistent link: https://www.econbiz.de/10005419363

Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements

Reese, Simon; Li, Yushu - Nationalekonomiska Institutionen, Ekonomihögskolan - 2013

This paper investigates how classical measurement error and additive outliers influence tests for structural change based on F-statistics. We derive theoretically the impact of general additive disturbances in the regressors on the asymptotic distribution of these tests for structural change ....

Persistent link: https://www.econbiz.de/10010734810

A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models

Li, Yushu; Andersson, Fredrik N. G. - Nationalekonomiska Institutionen, Ekonomihögskolan - 2013

Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is …’s (2011) time series test for serial correlation to the panel data case in the framework proposed by Hong and Kao (2004). Our …

Persistent link: https://www.econbiz.de/10010718623