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The sustainability of fiscal policy in Italy: A long-term perspective
Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta - 2012
debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of …
Persistent link: https://www.econbiz.de/10010281948
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Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …
Persistent link: https://www.econbiz.de/10010314930
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - 2015
The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...
Persistent link: https://www.econbiz.de/10010480882
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Unit roots and cointegration in panels
Breitung, Jörg; Pesaran, Mohammad Hashem - 2005
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10010276171
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, Mohammad Hashem; Smith, L. Vanessa; Yamagata, … - 2008
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10010276216
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10013316613
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Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...
Persistent link: https://www.econbiz.de/10012052773
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Identification and Estimation of the Environmental Kuznets Curve: Pairwise Differencing to Deal with Nonlinearity and Nonstationarity
Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016
We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...
Persistent link: https://www.econbiz.de/10011451447
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Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10013470277
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Nominal and Real Wages in the UK, 1750 - 2015 : Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10014243100