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GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
Robertson, Donald; Sarafidis, Vasilis; Westerlund, Joakim - Volkswirtschaftliche Fakultät, … - 2014
This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a …
Persistent link: https://www.econbiz.de/10011259926
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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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Testing Panel Cointegration with Unobservable Dynamic Common Factors
Bai, Jushan; Carrion-i-Silvestre, Josep Lluis - Volkswirtschaftliche Fakultät, … - 2009
The paper proposes statistics to test the null hypothesis of no cointegration in panel data when common factors drive …
Persistent link: https://www.econbiz.de/10009369178
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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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China's Regional Convergence in Panels with Multiple Structural Breaks
Matsuki, Takashi; Usami, Ryoichi - Volkswirtschaftliche Fakultät, … - 2007
–2004, particularly focusing on considering the presence of multiple structural breaks in the provincial-level panel data. First, the … panel-based unit root test that allows for occurrence of multiple breaks at various break dates across provinces is … each province, which are combined to construct the panel unit root test, this study assumes three data generating processes …
Persistent link: https://www.econbiz.de/10005621418
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Why inferential statistics are inappropriate for development studies and how the same data can be better used
Ballinger, Clint - Volkswirtschaftliche Fakultät, … - 2011
The purpose of this paper is twofold: 1) to highlight the widely ignored but fundamental problem of ‘superpopulations’ for the use of inferential statistics in development studies. We do not to dwell on this problem however as it has been sufficiently discussed in older papers by...
Persistent link: https://www.econbiz.de/10008923034
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A Statistical Test of City Growth: Location, Increasing Returns and Random Growth
González-Val, Rafael; Olmo, Jose - Volkswirtschaftliche Fakultät, … - 2010
This article analyzes the main existing theories on income and population city growth: the existence of increasing returns to scale, the importance of locational fundamentals, and random growth. To do this we develop a nonlinearity test that is implemented to a dataset on urban, climatological...
Persistent link: https://www.econbiz.de/10008756299
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A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007
Di Iorio, Francesca; Fachin, Stefano - Volkswirtschaftliche Fakultät, … - 2010
bootstrap test for panel cointegration robust to short- and long-run dependence across units. Thid test provides evidence of a …
Persistent link: https://www.econbiz.de/10008683317
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan Jose; Gonzalo, Jesus - Volkswirtschaftliche Fakultät, … - 2011
Constant factor loadings is a standard assumption in the analysis of large dimensional factor models. Yet, this assumption may be restrictive unless parameter shifts are mild. In this paper we develop a new testing procedure to detect big breaks in factor loadings at either known or unknown...
Persistent link: https://www.econbiz.de/10009132743