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Testing Weak Cross-Sectional Dependence in Large Panels
Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged values of the …
Persistent link: https://www.econbiz.de/10010990929
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005083101
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Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
Binder, Michael; Hsiao, Cheng; Mutl, Jan; Pesaran, M. Hashem - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345457
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Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models
Hsiao, Cheng; Pesaran, M. Hashem; Pick, Andreas - Institute for the Study of Labor (IZA) - 2007
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005703526
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General Diagnostic Tests for Cross Section Dependence in Panels
Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2004
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …
Persistent link: https://www.econbiz.de/10005703712
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Panels with Nonstationary Multifactor Error Structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10005763482
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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - Society for Computational Economics - SCE - 2001
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time …
Persistent link: https://www.econbiz.de/10005537759
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Random Coefficient Panel Data Models
Hsiao, Cheng; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2004
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models. …
Persistent link: https://www.econbiz.de/10005566372
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Real currency appreciation in accession countries: Balassa-Samuelson and investment demand
Fischer, Christoph - Deutsche Bundesbank - 2002
apparently in favour of Balassa-Samuelson effects may require a re-interpretation. The model is estimated for a panel of CEE … scheinen, müssen deshalb möglicherweise neu interpretiert werden. Das Modell wird für ein Panel von mittel- und osteuropäischen …
Persistent link: https://www.econbiz.de/10005083090
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A single composite financial stress indicator and its real impact in the euro area
Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2013
In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...
Persistent link: https://www.econbiz.de/10010957158