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International financial integration and Real Exchange Rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009
integration ; misalignment ; second-generation panel unit root and cointegration tests …
Persistent link: https://www.econbiz.de/10003816542
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem (contributor);  … - 2007
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10003652679
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://www.econbiz.de/10003586562
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Identification of the timing-of-events model with multiple competing exit risks from single-spell data
Drepper, Bettina; Effraimidis, Georgios - 2015
This note describes how the (single-spell) identification result of the timing-of-events model by Abbring and Van den Berg (2003b) can be extended to a model that accommodates several competing exit risks. The extended model can be used for example to distinguish between the different effects of...
Persistent link: https://www.econbiz.de/10010479003
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …
Persistent link: https://www.econbiz.de/10003355571
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International migration with heterogeneous agents : theory and evidence
Brücker, Herbert (contributor);  … - 2006
investigation of the cointegration relationships of German migration stocks and flows since 1967. We find that (i) panel-unit root … migration stocks and the explanatory variables are all I(1) variables, and (ii) the hypothesis of cointegration cannot be … rejected for the stock model. -- international migration ; temporary migration ; panel cointegration …
Persistent link: https://www.econbiz.de/10003376850
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On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables
Pagan, Adrian R. (contributor);  … - 2007
-run restrictions than are needed because of a failure to fully utilize the cointegration information. …
Persistent link: https://www.econbiz.de/10003536155
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Structural change in MENA remittance flows
Naufal, George; Genc, Ismail H. - 2013
After independence, the GCC countries relied heavily on foreign workers from fellow Arab countries. Thus, remittances flowed from GCC to other countries in MENA. In the 1980s-1990s labor source switched to South Asia; so did the flow of remittances. This paper examines the consequences of the...
Persistent link: https://www.econbiz.de/10009766270
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International labour force participation rates by gender : unit root or structural breaks?
Ozdemir, Zeynel Abidin; Balcilar, Mehmet; Tansel, Aysıt - 2011
This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Australia, Canada and the USA. We extend the procedure of Gil-Alana (2008) for single structural break...
Persistent link: https://www.econbiz.de/10009516900
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Are unemployment rates in OECD countries stationary? : evidence from univariate and panel unit root tests
Khraief, Naceur; Shahbaz, Muhammad; Heshmati, Almas; … - 2015
This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980-2013. Numerous empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can show nonlinear behaviour as a result of business...
Persistent link: https://www.econbiz.de/10011407928