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Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation

Biørn, Erik; Klette, Tor Jakob - Statistisk Sentralbyrå, Government of Norway - 1997

General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is …

Persistent link: https://www.econbiz.de/10004980817

Panel Unit Root Tests under Cross- sectional Dependence

Das, Samarjit; Breitung, Joerg - Econometric Society - 2004

In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust …

Persistent link: https://www.econbiz.de/10005063717

Testing for seasonal unit roots in heterogeneous panels

Otero, Jesus; Smith, Jeremy - Econometric Society - 2004

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...

Persistent link: https://www.econbiz.de/10005129780

Testing for Serial Correlation, Spatial Autocorrelation and Random Effects

Koh, Won; Jung, Byoung Cheol; Baltagi, Badi H.; Song, … - Econometric Society - 2004

This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as … across the spatial units using random effects. The paper then derives several Lagrange Multiplier tests for this panel data … Bera (1998) and in the panel data context by Baltagi, Song and Koh (2003). The second is the LM tests for the error …

Persistent link: https://www.econbiz.de/10005130168

Bootstrapping the HEGY Seasonal Unit Root Tests

Taylor, Robert; Burridge, Peter - Econometric Society - 2004

This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...

Persistent link: https://www.econbiz.de/10005130173

A simple estimation method and finite-sample inference for a stochastic volatility model

VALERY, Pascale - Econometric Society - 2004

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples. To do this, we examine method-of-moments-based...

Persistent link: https://www.econbiz.de/10005130214

The Cusum Test for Parameter Change in Regression with ARCH Errors

Maekawa, Koichi; Sangyeol; Lee - Econometric Society - 2004

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...

Persistent link: https://www.econbiz.de/10005130233

HERD BEHAVIOR IN THE JAPANESE LOAN MARKET: EVIDENCE FROM BANK PANEL DATA

Nakagawa, Ryuichi; Uchida, Hirofumi - Econometric Society - 2004

This paper investigates whether Japanese banks had been following herd behavior in the domestic loan market from 1975 through 2002. Applying the technique developed by Lakonishok, Shleifer, and Vishny (LSV) (1992, J. of Fin. Econ.) to the data of loans outstanding to different types of...

Persistent link: https://www.econbiz.de/10005130235

Consistent Nonparametric Tests for Lorenz Dominance

Donald, Stephen G.; Barrett, Garry F. - Econometric Society - 2004

This paper proposes a test for Lorenz dominance. Given independent samples of income or other welfare related variable, we propose a test of the null hypothesis that the Lorenz curve for one population is dominated by the Lorenz curve for a second population. The test statistic is based on the...

Persistent link: https://www.econbiz.de/10005342152

Testing for Dependence in Non-Gaussian Time Series Data

Freeland, Keith; McCabe, Brendan; Martin, Gael - Econometric Society - 2004

This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...

Persistent link: https://www.econbiz.de/10005342169

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