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Reflections on “Testing for Unit Roots in Heterogeneous Panels”

Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023

This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration …

Persistent link: https://www.econbiz.de/10014262740

Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis

Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …

Persistent link: https://www.econbiz.de/10014239604

Political competition and convergence to fundamentals : with application to the political business cycle and the size of government

Ferris, J. Stephen; Park, Soo-Bin; Winer, Stanley L. - 2006

We address the problem of how to investigate whether economics, or politics, or both, matter in the explanation of public policy. The problem is first posed in a particular context by uncovering a political business cycle (using Canadian data for 130 years) and by taking up the challenge to make...

Persistent link: https://www.econbiz.de/10010276133

Inflation in the G7 Countries : Persistence and Structural Breaks

Caporale, Guglielmo Maria - 2020

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973 - March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or...

Persistent link: https://www.econbiz.de/10012831651

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

Bunching and Adjustment Costs : Evidence from Cypriot Tax Reforms

Mavrokonstantis, Panos; Seibold, Arthur - 2022

eliminate income tax kinks in Cyprus. Reduced-form evidence reveals substantial adjustment frictions attenuating bunching and de …

Persistent link: https://www.econbiz.de/10014082793

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10010266058

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

Dynamic Causal Forests, with an Application to Payroll Tax Incidence in Norway

Gavrilova, Evelina; Langørgen, Audun; Zoutman, Floris - 2023

This paper develops a machine-learning method that allows researchers to estimate heterogeneous treatment effects with panel data in a setting with many covariates. Our method, which we name the dynamic causal forest (DCF) method, extends the causal-forest method of Wager and Athey (2018) by...

Persistent link: https://www.econbiz.de/10014346998

The Causal Impact of Socio-Emotional Skills Training on Educational Success

Sorrenti, Giuseppe - 2020

We study the long-term effects of a randomized intervention targeting children's socio-emotional skills. The classroom-based intervention for primary school children has positive impacts that persist for over a decade. Treated children become more likely to complete academic high school and...

Persistent link: https://www.econbiz.de/10012837670

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