Showing 1 - 10 of 53
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...
Persistent link: https://www.econbiz.de/10002570513
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections....
Persistent link: https://www.econbiz.de/10002595402
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...
Persistent link: https://www.econbiz.de/10002577852
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10001600044
This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...
Persistent link: https://www.econbiz.de/10001600056
This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...
Persistent link: https://www.econbiz.de/10001600058
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...
Persistent link: https://www.econbiz.de/10001600059
We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...
Persistent link: https://www.econbiz.de/10001629177
Persistent link: https://www.econbiz.de/10000953743
Persistent link: https://www.econbiz.de/10000953744