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Generalized Reduced Rank Tests using the Singular Value Decomposition
Paap, Richard; Kleibergen, Frank - Econometric Society - 2004
rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …
Persistent link: https://www.econbiz.de/10005063654
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Cointegration versus Spurious Regression in Heterogeneous Panels
Urga, Giovanni; Trapani, Lorenzo - Econometric Society - 2004
cointegration to hold in the aggregate relationship. We also develop an estimation and testing framework to verify whether the … condition is met. Secondly, we analyze the case when cointegration doesn't carry through the aggregation process, investigating … derive the asymptotic measure of the degree of non cointegration of the aggregated estimate and we provide estimation and …
Persistent link: https://www.econbiz.de/10005702609
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MONETARY EXCHANGE RATE MODEL REVISITED: COINTEGRATION AND FORECASTING IN HETEROGENEOUS PANEL DATA
BUTT, MUHAMMAD S.; IQBAL, AZHAR; AHMAD, NUZHAT - Econometric Society - 2004
by economic theory. For this purpose, we would be employed Pedroni (1997) and Larsson et al (2001) panel cointegration …
Persistent link: https://www.econbiz.de/10005086422
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Testing Distributional Assumptions: A GMM Approach
MEDDAHI, N.; BONTEMPS, C. - Econometric Society - 2004
In this paper, we consider testing marginal distributional assumptions. Special cases that we consider are the Pearson's family like the Gaussian, Student, Gamma, Beta and uniform distributions. The test statistics we consider are based on the first moment conditions derived by Hansen and...
Persistent link: https://www.econbiz.de/10005328955
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GMM with Many Moment Conditions
Phillips, Peter C. B.; Han, Chirok - Econometric Society - 2004
This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number … regularity conditions, the GMM estimators are shown to converge in probability but not necessarily to the true parameter. A … not correspond to the true parameter. Conditions under which GMM estimators are consistent under such circumstances are …
Persistent link: https://www.econbiz.de/10005342348
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EXCHANGE RATE REGIMES AND FISCAL PERFORMANCE. DO FIXED EXCHANGE RATE REGIMES GENERATE MORE DISCIPLINE THAN FLEXIBLE ONES?
Vuletin, Guillermo J. - Econometric Society - 2004
fixed and flexible exchange rates. For these ends, a sample of 83 countries for the 1974-1998 period, the GMM methodology …
Persistent link: https://www.econbiz.de/10005328952
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Interpreting and testing the scaling property in models where inefficiency depends on firm characteristics
Schmidt, Peter; Alvarez, Antonio; Amsler, Christine - Econometric Society - 2004
In this paper, we are interested in a stochastic frontier model in which observable characteristics of the firms affect their levels of technical inefficiency. Let u ≥ 0 be the one-sided error reflecting technical inefficiency, and let z be a set of variables that affect u. We write u as...
Persistent link: https://www.econbiz.de/10005342372
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Testing for Serial Correlation, Spatial Autocorrelation and Random Effects
Koh, Won; Jung, Byoung Cheol; Baltagi, Badi H.; Song, … - Econometric Society - 2004
This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time. In addition, the model allows for heterogeneity across the spatial units using random effects. The...
Persistent link: https://www.econbiz.de/10005130168
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Testing for Serial Correlation, Spatial Autocorrelation and Random Effects
Koh, Won; Baltagi, Badi H.; Song, Seuck Heun - Econometric Society - 2004
This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time. In addition, the model allows for heterogeneity across the spatial units using random effects. The...
Persistent link: https://www.econbiz.de/10005342323
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Panel Unit Root Tests under Cross- sectional Dependence
Das, Samarjit; Breitung, Joerg - Econometric Society - 2004
In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t-statistic under contemporaneous correlated errors is suggested. Second, the GLS t-statistic is considered, which is based on the t-statistic of...
Persistent link: https://www.econbiz.de/10005063717