Showing 1 - 6 of 6
This paper studies nonstationarities in panels of exchange rates and interest rates. For this, we survey developments in the analysis of nonstationary panels with cross-sectional dependence modeled as a factor model. We focus on panel unit root tests and on inference on the nonstationary...
Persistent link: https://www.econbiz.de/10005342852
The asymptotic local power of various panel unit root tests are investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t- test, the Ploberger-Phillips (2002) test, and a...
Persistent link: https://www.econbiz.de/10005132575
This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using "large n and large T " asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive...
Persistent link: https://www.econbiz.de/10005132576
This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using “large n and large T”asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive...
Persistent link: https://www.econbiz.de/10005170544
This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this information leads to a reduction of the asymptotic mean-squared estimation error and propose asymptotically...
Persistent link: https://www.econbiz.de/10005537361
This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purpose, we find that the MSE and SMSE are at least sqrt(n)-consistent. Comparing this rate to the parametric MLE’s convergence rate, we show...
Persistent link: https://www.econbiz.de/10005537363