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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
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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 …
Persistent link: https://www.econbiz.de/10002595402
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Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637
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A smooth permanent surge process
González, Andrés (contributor) - 2004 - [Elektronische Ressource]
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10002465176
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Testing constancy of the error covariance matrix in vector models
Eklund, Bruno (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. January 18, 2006
This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...
Persistent link: https://www.econbiz.de/10001924637
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An econometric model of employment in Zimbabwe's manufacturing industries
Ncube, Mthuli; Heshmati, Almas - 1998
Persistent link: https://www.econbiz.de/10000995377
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Financial liberalization, bank crises and growth : assessing the links
Bonfiglioli, Alessandra (contributor);  … - 2004 - [Elektronische Ressource]
affects growth directly. The empirical analysis is performed through GMM dynamic panel data estimations on a panel of 90 … development ; institutions ; dynamic panel data …
Persistent link: https://www.econbiz.de/10002380051
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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
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Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli (contributor); Teräsvirta, Timo (contributor);  … - 2002 - [Elektronische Ressource], Rev. July 11, 2005
literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to …
Persistent link: https://www.econbiz.de/10001693105
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Building neural network models for time series : a statistical approach
Medeiros, Marcelo C. (contributor);  … - 2002 - [Elektronische Ressource]
aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated …
Persistent link: https://www.econbiz.de/10001693108