Showing 1 - 10 of 11
This paper presents results concerning the size and power of first generation panel unit root and stationarity tests obtained from a large scale simulation study, with in total about 290 million test statistics computed. The tests developed in the following papers are included: Levin, Lin and...
Persistent link: https://www.econbiz.de/10005212451
This paper deals with polynomial cointegration, i.e. with the phenomenon that linear combinations of a vector valued rational unit root process and lags of the process are of lower integration order than the process itself (for definitions see Section 2). The analysis is performed in the state...
Persistent link: https://www.econbiz.de/10005212459
This paper presents a simulation study that assesses the finite sample performance of the subspace algorithm cointegration analysis developed in Bauer und Wagner (2002b). The method is formulated in the state space framework, which is equivalent to the VARMA framework, in a sense made precise in...
Persistent link: https://www.econbiz.de/10005212481
In this paper we discuss three important econometric problems with the estimation of Environmental Kuznets Curves, which we exemplify with the particular example of the Carbon Kuznets Curve (CKC). The Carbon Kuznets hypothesis postulates an inverse U-shaped relationship between per capita GDP...
Persistent link: https://www.econbiz.de/10005730943
see revised version dp0312, July 2003
Persistent link: https://www.econbiz.de/10005812695
In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes. By multiple frequency I(1) processes we denote processes with unit roots at arbitrary points on the unit circle with the integration orders...
Persistent link: https://www.econbiz.de/10005812701
In this paper we discuss the necessity for an indirect approach to assess the growth and convergence prospects of ten Central and Eastern European countries (CEEC10). The necessity for an indirect approach arises for two reasons. First, the ongoing structural changes in the transition economies...
Persistent link: https://www.econbiz.de/10005812710
This paper offers a detailed assessment of the Balassa-Samuelson (BS) effect in eight Central and Eastern European countries (CEEC8). Several features distinguish this study from others: First, we investigate a variety of specifications of extended models. Non-homogeneity of wages, deviations...
Persistent link: https://www.econbiz.de/10005812715
In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle. It is shown that the state space framework, which is -- in a certain sense made precise in the paper --...
Persistent link: https://www.econbiz.de/10005515669
The methods listed in the title are compared by means of a simulation study and a real world application. The aspects compared in the simulations are: The performance of the tests of the different methods for the dimension of the cointegrating space and the quality of the estimated cointegrating...
Persistent link: https://www.econbiz.de/10005515705