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Determining the stationarity properties of individual series in panel datasets
Kapetanios, George - 2003
An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null … alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the researcher is left with …
Persistent link: https://www.econbiz.de/10010284119
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Determining the poolability of individual series in panel datasets
Kapetanios, George - 2003
Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …
Persistent link: https://www.econbiz.de/10010284125
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2008
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …
Persistent link: https://www.econbiz.de/10010280777
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Cluster analysis of panel datasets using non-standard optimisation of information criteria
Kapetanios, George - 2005
Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …
Persistent link: https://www.econbiz.de/10010284104
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2004
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows to identify the real exchange rates that are stationary …
Persistent link: https://www.econbiz.de/10010284185
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Power Properties of the Sargan Test in the Presence of Measurement Errors in Dynamic Panels
Dahlberg, Matz; Johansson, Eva; Tovmo, Per - 2002
This paper investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel …
Persistent link: https://www.econbiz.de/10010321705
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...
Persistent link: https://www.econbiz.de/10010282870
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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 …
Persistent link: https://www.econbiz.de/10010284201
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Cross-sectional averaging and instrumental variable estimation with many weak instruments
Kapetanios, George; Marcellino, Massimiliano - 2008
Instrumental variable estimation is central to econometric analysis and has justifiably been receiving considerable and consistent attention in the literature in the past. Recent developments have focused on cases where instruments are either weak, in terms of correlations with the endogenous...
Persistent link: https://www.econbiz.de/10010284172
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A shrinkage instrumental variable estimator for large datasets
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide...
Persistent link: https://www.econbiz.de/10010284174