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Taking a new contour: A novel approach to panel unit root tests

Chang, Yoosoon - In: Journal of Econometrics 169 (2012) 1, pp. 15-28

to invent tools and methodologies for effective inferences in panel unit root models. Simulations show that our approach …

Persistent link: https://www.econbiz.de/10010574097

Testing macro models by indirect inference : a survey for users

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2015

With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...

Persistent link: https://www.econbiz.de/10011317836

Testing DSGE models by indirect inference and other methods : some Monte Carlo experiments

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2012

Using Monte Carlo experiments, we examine the performance of Indirect Inference tests of DSGE models, usually versions of the Smets-Wouters New Keynesian model of the US postwar period. We compare these with tests based on direct inference (using the Likelihood Ratio), and on the Del...

Persistent link: https://www.econbiz.de/10009563550

Bootstrap DEA and hypothesis testing

Tziogkidis, Panagiotis - 2012

Bootstrapping non-parametric models is a fairly complicated exercise which is associated with implicit assumptions or requirements that are not always obvious to the non-expert user. Bootstrap DEA is a significant development of the past decade; however, some of its assumptions and properties are...

Persistent link: https://www.econbiz.de/10009583705

Small sample performance of indirect inference on DSGE models

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2015

Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples, using various models in widespread use. We compare these with tests based on direct inference (using the Likelihood Ratio). We find that both tests have power so that a...

Persistent link: https://www.econbiz.de/10010470917

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel … well for panel data with a large number of cross-sectional units and a finite number of observations across time. …

Persistent link: https://www.econbiz.de/10010730130

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

Persistent link: https://www.econbiz.de/10010753478

Bootstrap Statistical Tests of Rank Determination for System Identification

Camba-Mendez, Gonzalo; Kapetanios, George - School of Economics and Finance, Queen Mary - 2002

Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...

Persistent link: https://www.econbiz.de/10005106312

GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and … the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano … doing inference. We also propose two LM type panel unit root tests. …

Persistent link: https://www.econbiz.de/10005106329

Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from …

Persistent link: https://www.econbiz.de/10005106335