Showing 1 - 10 of 35
Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a …xed e¤ects panel data regression model without the normality assumption on the disturbances.
Persistent link: https://www.econbiz.de/10011269088
This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number of cross-sectional units and time series...
Persistent link: https://www.econbiz.de/10005056604
This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator is, in general, inconsistent owing to the spuriousness induced by the unobservabla I(1) trends. We propose two...
Persistent link: https://www.econbiz.de/10005698383
In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative...
Persistent link: https://www.econbiz.de/10005698390
This paper processes copula-based tests for testing cross-sectional independence of panel models.
Persistent link: https://www.econbiz.de/10005200851
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/10010598819
This paper extends Pesaran's (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are...
Persistent link: https://www.econbiz.de/10011269091
This paper studies test of hypotheses for the slope parameter in a linear time trend panel data model with serially correlated error component disturbances. We propose a test statistic that uses a bias corrected estimator of the serial correlation parameter. The proposed test statistic which is...
Persistent link: https://www.econbiz.de/10010892358
This paper sets up a nested random effects spatial autoregressive panel data model to explain annual house price variation for 2000-2007 across 353 local authority districts in England. The estimation problem posed is how to allow for the endogeneity of the spatial lag variable producing the...
Persistent link: https://www.econbiz.de/10010751563
This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990-2003. This is done using maximum likelihood estimation taking into account the nested structure of the data. Paris is historically divided into 20 arrondissements, each divided into four...
Persistent link: https://www.econbiz.de/10010751571