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Nonparametric rank tests for non-stationary panels
Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391
We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...
Persistent link: https://www.econbiz.de/10011190711
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Rank tests for short memory stationarity
Pelagatti, Matteo M.; Sen, Pranab K. - In: Journal of Econometrics 172 (2013) 1, pp. 90-105
We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.
Persistent link: https://www.econbiz.de/10010594957
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Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
Vogelsang, Timothy J.; Wagner, Martin - In: Journal of Econometrics 178 (2014) 2, pp. 741-760
This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of...
Persistent link: https://www.econbiz.de/10010730144
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Robust inference in nonstationary time series models
Xiao, Zhijie - In: Journal of Econometrics 169 (2012) 2, pp. 211-223
This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important …, and testing for cointegration. We analyze these inference problems in a unified regression framework, although separate …
Persistent link: https://www.econbiz.de/10010664707
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Nonlinear regressions with nonstationary time series
Chan, Nigel; Wang, Qiying - In: Journal of Econometrics 185 (2015) 1, pp. 182-195
This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general framework for weak consistency that is easy to apply for various nonstationary time series, including partial sums of linear processes and Harris recurrent Markov chains. We...
Persistent link: https://www.econbiz.de/10011190730
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Consistent estimation with many moment inequalities
Menzel, Konrad - In: Journal of Econometrics 182 (2014) 2, pp. 329-350
In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV...
Persistent link: https://www.econbiz.de/10010906795
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Robust subsampling
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of Econometrics 167 (2012) 1, pp. 197-210
We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even when they are applied to robust...
Persistent link: https://www.econbiz.de/10010574079
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A fast resample method for parametric and semiparametric models
Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133
We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...
Persistent link: https://www.econbiz.de/10010753478
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Residual based tests for cointegration in dependent panels
Chang, Yoosoon; Nguyen, Chi Mai - In: Journal of Econometrics 167 (2012) 2, pp. 504-520
In the paper, we propose residual based tests for cointegration in general panels with cross-sectional dependency … under the null hypothesis of no cointegration. The average or the minimum of the IVt-ratios can, therefore, be used to test … distribution function. Our simulation results indicate that the residual based tests for cointegration perform quite well in finite …
Persistent link: https://www.econbiz.de/10010574094
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem; Vanessa Smith, L.; Yamagata, Takashi - In: Journal of Econometrics 175 (2013) 2, pp. 94-115
This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross-sectionally augmented Sargan–Bhargava statistics (CSB). The basic...
Persistent link: https://www.econbiz.de/10011052269