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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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A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model
Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - In: Journal of Econometrics 170 (2012) 1, pp. 164-177
It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In...
Persistent link: https://www.econbiz.de/10011052261
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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 note on tests of sphericity and cross-sectional dependence for fixed effects panel model
Mao, Guangyu - In: Economics Letters 122 (2014) 2, pp. 215-219
This paper theoretically explains why bias correction appears in two statistics recently developed by Baltagi et al. (2011, 2012), which are designed to test the sphericity and cross-sectional dependence of the errors in the fixed effects panel model respectively. Our explanation shows that the...
Persistent link: https://www.econbiz.de/10011041555
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On the estimation and inference in factor-augmented panel regressions with correlated loadings
Westerlund, Joakim; Urbain, Jean-Pierre - In: Economics Letters 119 (2013) 3, pp. 247-250
In an influential paper, Pesaran [Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012] proposes a very simple estimator of factor-augmented regressions that has since then become very popular. In this note...
Persistent link: https://www.econbiz.de/10011041647
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Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break
Matsuki, Takashi; Sugimoto, Kimiko - In: Economic Modelling 34 (2013) C, pp. 52-58
This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against … identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the …-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is …
Persistent link: https://www.econbiz.de/10010709336
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Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations
Stanescu, Silvia; Tunaru, Radu; Candradewi, Made Reina - In: International Review of Financial Analysis 34 (2014) C, pp. 177-188
In this paper the differences between forward and futures prices for the UK commercial property market are analyzed, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically significant over the study period. Further analysis...
Persistent link: https://www.econbiz.de/10010931488
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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 the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the...
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 conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend....
Persistent link: https://www.econbiz.de/10011190734
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Size improvement of the KPSS test using sieve bootstraps
Lee, Jin; Lee, Young Im - In: Economics Letters 116 (2012) 3, pp. 483-486
It is widely known that size distortions of the so-called KPSS stationarity test, introduced in Kwiatkowski et …
Persistent link: https://www.econbiz.de/10011041723