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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - 2003
statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté].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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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - 2003
Persistent link: https://www.econbiz.de/10001726809
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Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?
Lin, Yicong; Reuvers, Hanno - 2022
The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...
Persistent link: https://www.econbiz.de/10013463979
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A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …
Persistent link: https://www.econbiz.de/10011300549
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …
Persistent link: https://www.econbiz.de/10012026102
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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
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The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Bun, Maurice J. G.; Kiviet, J. F. - 2002
Persistent link: https://www.econbiz.de/10001718452
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A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Abadir, Karim Maher; Lucas, André - 2000
Persistent link: https://www.econbiz.de/10001471423
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Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
Kiviet, J. F. - 2012
Persistent link: https://www.econbiz.de/10010190991
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A rank dependent scheduling model
Koster, Paul R.; Verhoef, Erik T. - 2010
probability weighting using rank dependent utility theory. The fundamental difference with the standard scheduling model based on …
Persistent link: https://www.econbiz.de/10011381016