Narrow search
Showing 1 - 10 of 287
Cover Image
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 …
Persistent link: https://www.econbiz.de/10002595402
Cover Image
Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …
Persistent link: https://www.econbiz.de/10002577852
Cover Image
Testing parameter constancy in unit root autoregressive models against continuous change
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005
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
Cover Image
Why not use standard panel unit root test for testing PPP
Lyhagen, Johan (contributor) - 2000 - [Elektronische Ressource]
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity …
Persistent link: https://www.econbiz.de/10001600044
Cover Image
On seasonal error correction when the processes include different numbers of unit roots
Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001
We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...
Persistent link: https://www.econbiz.de/10001600047
Cover Image
Testing the unit root hypothesis against the logistic smooth transition autoregressive model
Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]
In this paper two simple tests to distinguish between unit root processes and stationary nonlinear processes are proposed. New limit distribution results are provided, together with two F type test statistics for the joint unit root and linearity hypothesis against a specific nonlinear...
Persistent link: https://www.econbiz.de/10001845685
Cover Image
A nonlinear alternative to the unit root hypothesis
Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]
This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...
Persistent link: https://www.econbiz.de/10001845699
Cover Image
On seasonality and cointegration
Löf, Mårten - 2001
Persistent link: https://www.econbiz.de/10001582796
Cover Image
Parametric covariance matrix modeling in Bayesian panel regression
Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005
illustrated. -- Bayesian panel regression ; parametric covariance ; model selection …
Persistent link: https://www.econbiz.de/10002595455
Cover Image
Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637