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Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of … investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

Persistent link: https://www.econbiz.de/10011409009

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …

Persistent link: https://www.econbiz.de/10009786715

Structural vector autoregressions with nonnormal residuals

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2006

derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all …

Persistent link: https://www.econbiz.de/10003300986

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...

Persistent link: https://www.econbiz.de/10010249640

Aggregation in large dynamic panels

Pesaran, M. Hashem; Chudik, Alexander - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10009010169

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10003969212

Intra-and international risk-sharing in the short run and the long run

Becker, Sascha O.; Hoffmann, Mathias - 2003

We investigate empirically how industrialized countries and U.S. states share consumption risk at horizons between one and thirty years. U.S. federal states share about 50 percent of their permanent idiosyncratic risk through cross-state capital income flows. While insurance against transitory...

Persistent link: https://www.econbiz.de/10011404294

Too much in one basket? : debt concentration and sovereign yields

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we …

Persistent link: https://www.econbiz.de/10015420879

Population size and the size of government

Krieger, Tim; Meierrieks, Daniel - 2019

specified and fail to consider the influence of cross-sectional dependence, non-stationarity and cointegration. Using a panel …We examine the effect of population size on government size for a panel of 130 countries for the period between 1970 …

Persistent link: https://www.econbiz.de/10011990048

Revisiting the great ratios hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two … pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …

Persistent link: https://www.econbiz.de/10013041372