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received much attention in the econometrics literature. We study test performance in the context of specification testing for … all subsidiary null hypotheses outperform the well-known minimum P-value test and a recently proposed test that relies on … the non-parametric estimation of the joint density of all subsidiary test statistics. …
Persistent link: https://www.econbiz.de/10014534400
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...
Persistent link: https://www.econbiz.de/10010276171
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …
Persistent link: https://www.econbiz.de/10010276216
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
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of … securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … proposed test performs remarkably well even when T = 60 and N = 5;000. The test is applied to monthly returns on securities in …
Persistent link: https://www.econbiz.de/10011657153
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …
Persistent link: https://www.econbiz.de/10013316613
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
test has more power relative to both a bootstrap approach based on the KLIC and an approach which involves multiple testing … for differences of individual parts of the density. In addition, the test is computationally much faster than the KLIC … ECB Survey of Professional Forecasters and the U.S. Survey of Consumer Expectations, we show the usefulness of the test in …
Persistent link: https://www.econbiz.de/10014290166
This paper finds that global temperature anomalies are characterised by (temporary) explosiveness, a statistical feature typically found in financial and commodity market data during episodes of extreme price increases. This finding dramatically illustrates the extent temperature changes have...
Persistent link: https://www.econbiz.de/10014469664
We analyze diverse and heterogenous literature to grasp the general effect size of financial development on economic growth on a world scale. For that, we perform by far the largest available meta-analysis of the finance–growth nexus using 3561 estimates collected from 177 studies. Our...
Persistent link: https://www.econbiz.de/10014469825