Showing 1 - 10 of 111
In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both varying intercepts and slopes. These tests are (i) Kao (1999) Tests (both Dickey-Fuller (DF) and augmented Dickey-Fuller (ADF) types of cointegration tests in panel data), (ii)...
Persistent link: https://www.econbiz.de/10005342288
This paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural …
Persistent link: https://www.econbiz.de/10005063745
This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...
Persistent link: https://www.econbiz.de/10005130173
This paper develops a new simulation estimation algorithm that is particularly useful for estimating dynamic panel data …
Persistent link: https://www.econbiz.de/10005342235
This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...
Persistent link: https://www.econbiz.de/10005129780
cointegration to hold in the aggregate relationship. We also develop an estimation and testing framework to verify whether the … 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
An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are...
Persistent link: https://www.econbiz.de/10005086438
In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...
Persistent link: https://www.econbiz.de/10005063635
The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods, and shows how they are related in a unified framework. A number of extensions are also suggested which allow for multivarite...
Persistent link: https://www.econbiz.de/10005063666
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005063753