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Panel Data and Experimental Design
Burlig, Fiona - 2019
How should researchers design panel data experiments? We analytically derive the variance of panel estimators …, informing power calculations in panel data settings. We generalize Frison and Pocock (1992) to fully arbitrary error structures … panel data, we demonstrate that failing to account for arbitrary serial correlation ex ante yields experiments that are …
Persistent link: https://www.econbiz.de/10012863251
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Cointegration and Tests of Present Value Models
Campbell, John Y. - 2010
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...
Persistent link: https://www.econbiz.de/10012763269
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Unit Root Tests are Useful for Selecting Forecasting Models
Diebold, Francis X.; Kilian, Lutz - 2021
We study the usefulness of root tests as diagnostic tools for selecting forecasting models. Difference stationary and trend stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied...
Persistent link: https://www.econbiz.de/10013224678
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Tests for Unit Roots : a Monte Carlo Investigation
Schwert, G. William - 2021
Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests...
Persistent link: https://www.econbiz.de/10013240352
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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence
Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 2021
This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...
Persistent link: https://www.econbiz.de/10013248699
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Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
Nelson, Charles R. - 2021
in nonstationary time series. A Monte Carlo experiment confirms that when data is generated by a random walk, the 88 …
Persistent link: https://www.econbiz.de/10013243662
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Testing
Bergbauer, Annika - 2018
over 6 waves in the international PISA student achievement test 2000-2015. Our empirical model exploits the country panel …
Persistent link: https://www.econbiz.de/10012914273
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Nonrenewable Resource Prices : Deterministic or Stochastic Trends?
Lee, Junsoo; List, John A.; Strazicich, Mark C. - 2021
In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...
Persistent link: https://www.econbiz.de/10013227016
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Multivariate Fractional Regression Estimation of Econometric Share Models
Mullahy, John - 2010
proposed by Papke and Wooldridge, 1996, 2008, in univariate cross-sectional and panel contexts. The paper discusses the …
Persistent link: https://www.econbiz.de/10013138354
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Estimating Ricardian Models with Panel Data
Massetti, Emanuele - 2011
suggest the results are not stable. We argue that repeated cross sections do not properly specify the model. Panel methods … including hedonic studies and travel cost studies could be enhanced using panel data …
Persistent link: https://www.econbiz.de/10013124237