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Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or not IV?
Mitze, Timo - 2009
We analyse the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous variables with the error term. A common solution in this setting is to use Instrumental-Variable (IV) estimation in the spirit of Hausman-Taylor (1981). However, some potential...
Persistent link: https://www.econbiz.de/10010264750
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Endogeneity in Panel Data Models with Time-Varying and Time-Fixed Regressors: To IV or not IV?
Mitze, Timo - Rheinisch-Westfälisches Institut für … - 2009
We analyse the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous variables with the error term.A common solution in this setting is to use Instrumental-Variable (IV) estimation in the spirit of Hausman-Taylor (1981). However, some potential...
Persistent link: https://www.econbiz.de/10005178230
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Is Double Trouble? – How to Combine Cointegration Tests
Bayer, Christian; Hanck, Christoph - 2008
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …
Persistent link: https://www.econbiz.de/10010264719
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Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
Belke, Ansgar; Czudaj, Robert - 2010
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...
Persistent link: https://www.econbiz.de/10010269994
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Is Double Trouble? How to Combine Cointegration Tests
Bayer, Christian - 2008
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …
Persistent link: https://www.econbiz.de/10012724343
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Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
Belke, Ansgar; Czudaj, Robert - Rheinisch-Westfälisches Institut für … - 2010
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current fi nancial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We...
Persistent link: https://www.econbiz.de/10008518187
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Is Double Trouble? – How to Combine Cointegration Tests
Bayer, Christian; Hanck, Christoph - Rheinisch-Westfälisches Institut für … - 2008
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …
Persistent link: https://www.econbiz.de/10005548374
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Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011
national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …
Persistent link: https://www.econbiz.de/10010274448
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Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - Rheinisch-Westfälisches Institut für … - 2011
national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …
Persistent link: https://www.econbiz.de/10009018923
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Within and Between Panel Cointegration in the German Regional Output-Trade-FDI Nexus
Mitze, Timo - 2010
For spatial data with a sufficiently long time dimension, the concept of global cointegration has been recently … included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both … allows us to analyze the short- and long-run impacts of internationalization activities. For the long-run cointegration …
Persistent link: https://www.econbiz.de/10010273589