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Unit Root Tests, Size Distortions, and Cointegrated Data
Reed, W. Robert - Department of Economics and Finance, College of … - 2014
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests – the ADF, Phillips-Perron, and DF-GLS tests – frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011099467
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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Department of Economics and Finance, College of … - 2010
Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...
Persistent link: https://www.econbiz.de/10008553000
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Cliometrics and Time Series Econometrics: Some Theory and Applications
Grreasley, David - Department of Economics and Finance, College of … - 2010
regression, unit roots, cointegration, persistence, causality, structural time series methods, including time varying parameter …
Persistent link: https://www.econbiz.de/10008455450
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Persistence in Real Exchange Rate Convergence.
Stengos, Thanasis; Yazgan, M. Ege - Department of Economics and Finance, College of … - 2012
using both monthly and quarterly data for a panel of 47 countries over a fifty year period (1957 to 2009). The analysis …
Persistent link: https://www.econbiz.de/10011007862
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Growth and the pollution convergence hypothesis: a nonparametric approach.
Criado, C. Ordás; Valente, S.; Stengos, T. - Department of Economics and Finance, College of … - 2009
oxides (NOX) and sulfur oxides (SOX) - with a panel of 25 European countries spanning over years 1980-2005. Traditional …
Persistent link: https://www.econbiz.de/10008558433
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Estimating Standard Errors For The Parks Model: Can Jackknifing Help?
Reed, W. Robert; Webb, Rachel S. - Department of Economics and Finance, College of … - 2009
present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has …, its overall performance is not sufficient to make it a viable alternative to other panel data estimators. …
Persistent link: https://www.econbiz.de/10008558472
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The PCSE Estimator is Good -- Just Not as Good as You Think
Reed, W. Robert; Webb, Rachel - Department of Economics and Finance, College of … - 2010
This paper investigates the properties of the Panel-Corrected Standard Error (PCSE) estimator. The PCSE estimator is …
Persistent link: https://www.econbiz.de/10008525347
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Growth and Pollution Convergence: Theory and Evidence
Criado, Carlos Ordás; Valente, Simone; Stengos, Thanasis - Department of Economics and Finance, College of … - 2011
- sulfur oxides and nitrogen oxides - with a panel of 25 European countries spanning the years 1980-2005. Traditional …
Persistent link: https://www.econbiz.de/10008914252
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Another Look at what to do with Time-series Cross-section Data
Chen, Xiujian; Lin, Shu; Reed, W. Robert - Department of Economics and Finance, College of … - 2006
Our study revisits Beck and Katz' (1995) comparison of the Parks and PCSE estimators using time-series, cross-sectional data (TSCS). Our innovation is that we construct simulated statistical environments that are designed to approximate actual TSCS data. We pattern our statistical environments...
Persistent link: https://www.econbiz.de/10005111039
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A Monte Carlo Evaluation of Some Common Panel Data Estimators when Serial Correlation and Cross-sectional Dependence are Both Present
Reed, W. Robert; Ye, Haichun - Department of Economics and Finance, College of … - 2007
This study employs Monte Carlo experiments to evaluate the performances of a number of common panel data estimators … intervals. An innovation of our study is that our simulated panel data sets are designed to look like “real-world” panel data … basis for a set of estimator recommendations. These are applied to “out of sample” simulated panel data sets and found to …
Persistent link: https://www.econbiz.de/10005111061