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Modeling panels of intercorrelated autoregressive time series

Hjellvik, Vidar; Tjostheim, Dag - 1998

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …

Persistent link: https://www.econbiz.de/10009578021

Alternative GMM methods for nonlinear panel data models

Breitung, Jörg; Lechner, Michael - 1998

Persistent link: https://www.econbiz.de/10009578574

A parametric approach to the estimation of cointegration vectors in panel data

Breitung, Jörg - 2002

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …

Persistent link: https://www.econbiz.de/10009620776

The local power of some unit root tests for panel data

Breitung, Jörg - 1999

nonzero mean of the t-statistic in the case of an OLS detrending method. In this paper the local power of panel unit root …

Persistent link: https://www.econbiz.de/10009581103

Uncovered interest parity : what can we learn from panel data?

Breitung, Jörg; Brüggemann, Ralf - 2000

Persistent link: https://www.econbiz.de/10009611553

Testing the purchasing power parity in pooled systems of error correction models

Herwartz, Helmut; Reimers, Hans-Eggert - 2000

not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild …

Persistent link: https://www.econbiz.de/10009612044

Semiparametric estimation and prediction for time series cross sectional data

Bunke, Olaf - 1998

estimation of additive individual effects and which may essentially improve a traditional panel data analysis. …

Persistent link: https://www.econbiz.de/10009578017

Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts

Klapper, Daniel; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10009578563

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment

Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.

For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...

Persistent link: https://www.econbiz.de/10009621415