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A wavelet approach to multiple cointegration testing
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables.  Small sample quantiles for these wavelet statistics are obtained …
Persistent link: https://www.econbiz.de/10011004134
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A Test for the Null of Multiple Cointegrating Vectors
Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013
This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables.  Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …
Persistent link: https://www.econbiz.de/10011004208
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Panel Estimation for Worriers
Eberhardt, Markus; Banerjee, Anindya; Reade, J. James - Department of Economics, Oxford University - 2010
The recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel...
Persistent link: https://www.econbiz.de/10008739202
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Testing for a time-varying price-cost markup in the Euro area inflation process
Bowdler, Christopher; Jansen, Eilev S. - Department of Economics, Oxford University - 2004
Empirical models of inflation often incorporate equilibrium correction effects based upon levels of prices and input costs. Such models assume that the steady-state price-cost markup is constant, but recent research suggests that this may not be true for the Euro area economy, which has...
Persistent link: https://www.econbiz.de/10010604884
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PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate
Akram, Qaisar Farooq - Department of Economics, Oxford University - 2000
Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...
Persistent link: https://www.econbiz.de/10010605226
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Detecting Big Structural Breaks in Large Factor Models
Chen, Liang; Dolado, Juan; Gonzalo, Jesus - Department of Economics, Oxford University - 2013
Time invariance of factor loadings is a standard assumption in the analysis of large factor models.  Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero).  In this paper we develop a new testing procedure to detect big breaks in these loadings at...
Persistent link: https://www.econbiz.de/10011004160
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Testing Unilateral and Bilateral Link Formation
Fafchamps, Marcel; Comola, Margherita - Department of Economics, Oxford University - 2009
The literature has shown that network architecture depends crucially on whether links are formed unilaterally or bilaterally, that is, on whether the consent of both nodes is required for a link to be formed.  We propose a test of whether network data is best seen as an actual link or...
Persistent link: https://www.econbiz.de/10011004410
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On Testing Overidentifying Restrictions in Dynamic Panel Data Models
Bowsher, Clive - Department of Economics, Oxford University - 2000
The conventional Sargan (1958)/Hansen (1982) test of overidentifying restrictions and the Tilting Parameter test of Imbens, Spady and Johnson (1998) are compared in the context of the AR(1) dynamic panel data model using Monte Carlo experiments. Interestingly, the size properties of the former...
Persistent link: https://www.econbiz.de/10010605004
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New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor
Jenkinson, Tim; Bell, Leonie - Department of Economics, Oxford University - 2000
This paper examines the impact of a major change in dividend taxation introduced in the UK in July 1997. The reform was structured in such a way that the immediate impact fell almost entirely on the largest investor class in the UK, namely pension funds. We analyse the behaviour of share prices...
Persistent link: https://www.econbiz.de/10010605014
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Learning to Forgive
Norman, Thomas - Department of Economics, Oxford University - 2006
The Folk Theorem for infinitely repeated games offers an embarrassment of riches; nowhere is equilibrium multiplicity more acute. This paper selects amongst these equilibria in the following sense. If players learn to play an infinitely repeated game using classical hypothesis testing, it is...
Persistent link: https://www.econbiz.de/10005090690