Narrow search
Showing 1 - 10 of 276
Cover Image
Pooled Unit Root Tests in Panels with a Common Factor
Westerlund, Joakim - 2005
This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters...
Persistent link: https://www.econbiz.de/10013208472
Cover Image
Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors
Stauskas, Ovidijus - 2021
thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit …
Persistent link: https://www.econbiz.de/10013208900
Cover Image
Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
De Vos, Ignace; Stauskas, Ovidijus - 2021
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic...
Persistent link: https://www.econbiz.de/10013208907
Cover Image
Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
in choosing what test implementation to employ when testing for stationarity in small-sample situations. …
Persistent link: https://www.econbiz.de/10013208507
Cover Image
Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results
Jönsson, Kristian - 2005
In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that … the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …
Persistent link: https://www.econbiz.de/10013208476
Cover Image
Panel Cointegration Tests with Deterministic Trends and Structural Breaks
Westerlund, Joakim; Edgerton, David - 2005
This paper proposes Lagrange multiplier (LM) based tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, individual specific time trends, and a single structural break in both the intercept and...
Persistent link: https://www.econbiz.de/10013208493
Cover Image
A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root
Westerlund, Joakim; Norkute, Milda - 2014
In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free....
Persistent link: https://www.econbiz.de/10013208680
Cover Image
On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors
Stauskas, Ovidijus - 2019
relevant situation when multiple time series under consideration exhibit different degrees of non-stationarity. By bridging the …
Persistent link: https://www.econbiz.de/10013208843
Cover Image
Panels with nonstationary multifactor error structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...
Persistent link: https://www.econbiz.de/10010284106
Cover Image
Alternative approaches to estimation and inference in large multifactor panels: Small sample results with an application to modelling of asset returns
Kapetanios, George; Pesaran, M. Hashem - 2005
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...
Persistent link: https://www.econbiz.de/10010284201