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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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The determinants of crude oil prices : evidence from ARDL and nonlinear ARDL approaches
Ben Salem, Leila; Nouira, Ridha; Jeguirim, Khaled; … - 2022
) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …
Persistent link: https://www.econbiz.de/10013429325
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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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Diagnostic tests of cross section independence for nonlinear panel data models
Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 2007
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...
Persistent link: https://www.econbiz.de/10003590525
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The treatment effect, the cross difference, and the interaction term in nonlinear "difference-in-differences" models
Puhani, Patrick A. (contributor) - 2008
I demonstrate that Ai and Norton's (2003) point about cross differences is not relevant for the estimation of the treatment effect in nonlinear "difference-in-differences" models such as probit, logit or tobit, because the cross difference is not equal to the treatment effect, which is the...
Persistent link: https://www.econbiz.de/10003697370
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An Oaxaca decomposition for nonlinear models
Bazen, Stephen; Joutard, Xavier; Magdalou, Brice - 2016
The widely used Oaxaca decomposition applies to linear models. Extending it to commonly used nonlinear models such as duration models is not straightforward. This paper shows that the original decomposition that uses a linear model can also be obtained by an application of the mean value...
Persistent link: https://www.econbiz.de/10011458881
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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