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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 … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …
Persistent link: https://www.econbiz.de/10013316613
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Reflections on “Testing for Unit Roots in Heterogeneous Panels”
Im, KyungSo; 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 tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://www.econbiz.de/10014262740
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Long Run and Cyclical Dynamics in the U.S. Stock Market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2021
This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...
Persistent link: https://www.econbiz.de/10013316966
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The Association of Opening K-12 Schools and Colleges with the Spread of COVID-19 in the United States : County-Level Panel Data Analysis
Chernozhukov, Victor; Kasahara, Hiroyuki; Schrimpf, Paul - 2021
using county-level panel data in the United States. Using data on foot traffic and K-12 school opening plans, we analyze how … related to the 2-weeks forward growth rate of confirmed COVID-19 cases. Our debiased panel data regression analysis with a set …
Persistent link: https://www.econbiz.de/10013239567
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Political Risk and Real Exchange Rate : What Can We Learn from Recent Developments in Panel Data Econometrics for Emerging and Developing Countries?
Bahmani‐Oskooee, Mohsen - 2019
Cross- Sectionally Augmented ARDL approach of Chudik and Pesaran (2015b), and the panel threshold estimation of Chudik et al …
Persistent link: https://www.econbiz.de/10012892145
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Bayesian Estimation of Multivariate Panel Probits with Higher-Order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2022
This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large …
Persistent link: https://www.econbiz.de/10013300866
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Heterogeneous Autoregressions in Short T Panel Data Models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …
Persistent link: https://www.econbiz.de/10014347822
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A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
Pesaran, M. Hashem; Xie, Yimeng - 2021
result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample …
Persistent link: https://www.econbiz.de/10013215800
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Unit roots and cointegration in panels
Breitung, Jörg; Pesaran, Mohammad Hashem - 2005
degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …
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 … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …
Persistent link: https://www.econbiz.de/10010276216