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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...
Persistent link: https://www.econbiz.de/10014357208
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Long Run Canonical Correlations : Estimation and Inference
Dovonon, Prosper - 2009
This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...
Persistent link: https://www.econbiz.de/10013155084
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Semiparametric sieve-type GLS inference in regressions with long-range dependence
Kapetanios, George; Psaradakis, Zacharias - 2007
This paper considers the problem of statistical inference in linear regression models whose stochastic regressors and errors may exhibit long-range dependence. A time-domain sieve-type generalized least squares (GLS) procedure is proposed based on an autoregressive approximation to the...
Persistent link: https://www.econbiz.de/10010284208
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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013
This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …
Persistent link: https://www.econbiz.de/10010187855
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Accidental Rivals? EU Fiscal Rules, NATO, and Transatlantic Burden-Sharing
Becker, Jordan - 2017
Both theorists and practitioners continue to show interest in transatlantic burden-sharing. International security and political economy scholarship offers plausible explanations for transatlantic imbalances in military expenditures. However, NATO Allies and EU Member States have pledged to one...
Persistent link: https://www.econbiz.de/10012967515
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Tests for Parameter Instability in Dynamic Factor Models
Han, Xu - 2014
We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used....
Persistent link: https://www.econbiz.de/10013063182
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Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach
Mastromarco, Camilla - 2014
under which globalization factors foster technology efficiency. In this paper, we extend the MSS model by combining panel … threshold regression technique advanced by Hansen (1999). This threshold stochastic frontier panel data model enables us to …
Persistent link: https://www.econbiz.de/10013065766
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Spurious regression, cointegration, and near cointegration : a unifying approach
Haldrup, Niels; Jansson, Michael - 1999
This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...
Persistent link: https://www.econbiz.de/10011300555
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Estimation of possibly non-stationary first-order auto-regressive processes
Martins, Ana Paula - 2016
This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....
Persistent link: https://www.econbiz.de/10011784570
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Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan - 2018
Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...
Persistent link: https://www.econbiz.de/10011817166