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Testing for common cointegrating rank in dynamic panels

Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 2000

The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a … dynamic panel given the assumption of a common cointegrating rank. This paper presents a test for this assumption. The test is … based on the test statistic of Larsson et al (1998) and a new panel test based on the principal component estimator of …

Persistent link: https://www.econbiz.de/10005207177

Likelihood-Based Inference in Multivariate Panel Cointegration Models

Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999

This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating …

Persistent link: https://www.econbiz.de/10005207209

Health Care System Effects on Cost Efficiency in the OECD Countries

Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

This paper investigates the effects of different health systems on cost efficiency in inpatient health care among the OECD countries. The results indicate that public contract systems are less efficient and that public integrated health systems are more efficient than public reimbursement systems.

Persistent link: https://www.econbiz.de/10005771184

Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model

Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007

In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...

Persistent link: https://www.econbiz.de/10005056490

Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

Karlsson, Sune; Skoglund, Jimmy - Economics Institute for Research (SIR), … - 2000

This paper considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is easily generalized to...

Persistent link: https://www.econbiz.de/10005423854

Likelihood-Based Cointegration Tests in Heterogeneous Panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean …

Persistent link: https://www.econbiz.de/10005649283

Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations

Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...

Persistent link: https://www.econbiz.de/10005649338

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy; Karlsson, Sune - Economics Institute for Research (SIR), … - 2001

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

Persistent link: https://www.econbiz.de/10005649391

Bootstrapping Error Component Models

Andersson, Michael K.; Karlsson, Sune - Economics Institute for Research (SIR), … - 1999

This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size. There is thus little or no reason not to use the bootstrap...

Persistent link: https://www.econbiz.de/10005649435

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy; Karlsson, Sune - Economics Institute for Research (SIR), … - 2001

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10005649501