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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector … errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of …
Persistent link: https://www.econbiz.de/10011302148
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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - 2003
.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …
Persistent link: https://www.econbiz.de/10011332818
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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The monetary exchange rate model as a long-run phenomenon
Groen, Jan J. J. - 1998
residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …
Persistent link: https://www.econbiz.de/10011299983
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Misspecification in linear spatial regression models
Florax, Raymond J. G. M.; Nijkamp, Peter - 2003
Spatial effects are endemic in models based on spatially referenced data. The increased awareness of the relevance of spatial interactions, spatial externalities and networking effects among actors, evoked the area of spatial econometrics. Spatial econometrics focuses on the specification and...
Persistent link: https://www.econbiz.de/10011334352
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …
Persistent link: https://www.econbiz.de/10011342578
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced … results are shown to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10011379149
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The impact of WTO accession on Chinese firms' product and labor market power
Dobbelaere, Sabien; Wiersma, Quint - 2019
inputs decreases the likelihood of shifting firms away from an imperfectly competitive labor market setting where the …, falling tariffs on final goods increases the likelihood of switching firms away from setting wage markdowns. On the intensive …
Persistent link: https://www.econbiz.de/10012026039
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849