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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10010293028
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Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors
Stauskas, Ovidijus - 2021
A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...
Persistent link: https://www.econbiz.de/10013208900
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Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
De Vos, Ignace; Stauskas, Ovidijus - 2021
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel …
Persistent link: https://www.econbiz.de/10013208907
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The power of PANIC
Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 495-509
The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to …
Persistent link: https://www.econbiz.de/10011190726
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The effect of recursive detrending on panel unit root tests
Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 453-467
This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is …
Persistent link: https://www.econbiz.de/10011190734
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A simple panel stationarity test in the presence of serial correlation and a common factor
Hadri, Kaddour; Kurozumi, Eiji - In: Economics Letters 115 (2012) 1, pp. 31-34
This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel …
Persistent link: https://www.econbiz.de/10011041587
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Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break
Arezki, Rabah; Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: Economics Letters 117 (2012) 3, pp. 814-816
run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural …
Persistent link: https://www.econbiz.de/10010594094
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A Bootstrap Cointegration Rank Test for Panels of VAR Models
Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010
. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood … function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A …. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties …
Persistent link: https://www.econbiz.de/10008752898
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
Hadri, Kaddour; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross …
Persistent link: https://www.econbiz.de/10005675541
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
Hadri, Kaddour; Kurozumi, Eiji - Center for Research on Contemporary Economic Systems, … - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross …
Persistent link: https://www.econbiz.de/10005748661