Showing 1 - 10 of 33
We propose two new simple residual-based panel data tests for the null of no cointegration. The tests are simple …
Persistent link: https://www.econbiz.de/10005645134
This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross …
Persistent link: https://www.econbiz.de/10005645226
In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a …) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful …
Persistent link: https://www.econbiz.de/10011241611
Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The...
Persistent link: https://www.econbiz.de/10011157175
components-based panel analysis of non-stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (2004, 2010) are …
Persistent link: https://www.econbiz.de/10011213331
The use of factor-augmented panel regressions has become very popular in recent years. Existing methods for such …
Persistent link: https://www.econbiz.de/10011213332
In a recent article Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013 …a) proposes a new factor analytical method (FAM) for the estimation of fixed-effects dynamic panel data models, which …
Persistent link: https://www.econbiz.de/10010742095
feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible …
Persistent link: https://www.econbiz.de/10005645222
This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are …
Persistent link: https://www.econbiz.de/10005419366
structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for …
Persistent link: https://www.econbiz.de/10005419379