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Testing for unit roots in nonlinear dynamic heterogeneous panels

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]

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

On the Damodaran estimator of price adjustment coefficients

Säfvenblad, Patrik - 1997

Persistent link: https://www.econbiz.de/10000976835

Common factors in conditional distributions

Granger, C. W. J. (contributor); … - 2002 - [Elektronische Ressource]

application to the income-consumption relationship, using monthly US time series. Evidence is found to support the claim that the … series ; business cycles ; conditional distribution ; consumption-income relationship ; copula ; multivariate time …