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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

Persistent link: https://www.econbiz.de/10005137044

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 1999

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

Persistent link: https://www.econbiz.de/10011257374

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Tinbergen Instituut - 2003

.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10011249543

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Tinbergen Institute - 2003

.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10005137340

Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes

Kiviet, Jan F. - Tinbergen Instituut - 2012

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

Persistent link: https://www.econbiz.de/10011256767

How to Implement the Bootstrap in Static or Stable Dynamic Regression Models

Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Institute - 2001

By combining two alternative formulations of a test statistic with two alternative resampling schemes we obtain four different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and power problems, whereas the remaining two are adequate...

Persistent link: https://www.econbiz.de/10005137131

How to implement the Bootstrap in Static or Stable Dynamic Regression Models

Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Instituut - 2001

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

Persistent link: https://www.econbiz.de/10011256602

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Instituut - 2009

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

Persistent link: https://www.econbiz.de/10011256005

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Institute - 2009

Persistent link: https://www.econbiz.de/10008531426

Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - Tinbergen Institute - 2005

An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...

Persistent link: https://www.econbiz.de/10005137190

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