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International R&D Spillovers: An Application of Estimation and Inference in Panel
Chiang, Min-Hsien; Kao, Chihwa; Chen, Bangtian - EconWPA - 1997
In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and …
Persistent link: https://www.econbiz.de/10005119273
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"PPP tests in cointegrated panels: Evidence from Asian developing countries".
Basher, Syed A.; Mohsin, Mohammed - EconWPA - 2003
using panel cointegration framework. We employ 'between-dimension' dynamic OLS estimator as proposed by Pedroni (2001b). The …
Persistent link: https://www.econbiz.de/10005076786
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"PPP tests in cointegrated panels: Evidence from Asian developing countries".
Basher, Syed A.; Mohsin, Mohammed - EconWPA - 2003
using panel cointegration framework. We employ 'between-dimension' dynamic OLS estimator as proposed by Pedroni (2001b). The …
Persistent link: https://www.econbiz.de/10005126247
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PPP May not Hold for Agricultural Commodities
Gutierrez, Luciano - EconWPA - 2003
We use the well known USDA dataset of real exchange rates to address the question of whether PPP holds for agricultural commodities. Both unit root tests and the recently proposed more powerful class of panel unit root tests, which take into account cross-section correlation across the units in...
Persistent link: https://www.econbiz.de/10005062609
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A Panel Data Investigation of the Relationship Between Urbanization and Growth
McCoskey, Suzanne; Kao, Chihwa - EconWPA - 1998
Urban economists have long sought to explain the relationship between urbanization levels and output. In this paper we revisit this question and look for a relationship between urbanization and growth using non- stationary panel data techniques. Our results show that a long run relationship...
Persistent link: https://www.econbiz.de/10005407853
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Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable
Kao, Chihwa - EconWPA - 1997
-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of … LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study … Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic …
Persistent link: https://www.econbiz.de/10005407888
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A Monte Carlo Comparison of Tests for Cointegration in Panel Data
McCoskey, Suzanne; Kao, Chihwa - EconWPA - 1997
This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration …
Persistent link: https://www.econbiz.de/10005407941
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A RESIDUAL-BASED TEST OF THE NULL OF COINTEGRATION IN PANEL DATA
Kao, Chihwa; McCoskey, Suzanne - EconWPA - 1997
This paper proposes a residual-based Lagrange Multiplier (LM) test for the null of cointegration in panel data. The … the data set rather than underlying economic models, the recent development of the cointegration literature has allowed … null of cointegration in a panel setting and should be of considerable interest to economists in a wide variety of fields. …
Persistent link: https://www.econbiz.de/10005407955
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Money Demand in theEuroArea: Do National Differences Matter?
Dedola, Luca; Gaiotti, Eugenio; Silipo, Luca - EconWPA - 2004
This paper assesses the relevance of national information in estimating the demand for euro-area M3 from three perspectives. First, we check whether national money demands can legitimately be aggregated. Second, we compare time-series and panel methods to estimate aggregate long-run...
Persistent link: https://www.econbiz.de/10005412612
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On the power of panel cointegration tests: A Monte Carlo comparison. Economics Letters, 80(1):105-111.
Gutierrez, Luciano - EconWPA - 2002
This paper enlarges on Karlsoon and Löthgreen’s (2000) results on panel unit root tests to panel cointegration tests …) test. In addition, depending on the T-dimension of the panel, cointegration tests can have high power when a small or high … cointegration for the whole panel not all the relationships can be really cointegrated. …
Persistent link: https://www.econbiz.de/10005119080