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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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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 - 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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Bootstrap-based improvements for inference with clustered errors
Cameron, A. Colin; Miller, Douglas L.; Gelbach, Jonah B. - 2006
Microeconometrics researchers have increasingly realized the essential need to account for any within-group dependence in estimating standard errors of regression parameter estimates. The typical preferred solution is to calculate cluster-robust or sandwich standard errors that permit quite...
Persistent link: https://www.econbiz.de/10010275875
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Testing for exogeneity in nonlinear threshold models
Kapetanios, George - 2004
Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...
Persistent link: https://www.econbiz.de/10010284096
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Bootstrap statistical tests of rank determination for system identification
Camba-Mendez, Gonzalo; Kapetanios, George - 2002
Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...
Persistent link: https://www.econbiz.de/10010284210
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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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How puzzling is the PPP puzzle? An alternative half-life measure of convergence to PPP
Chortareas, Georgios E.; Kapetanios, George - 2004
The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics. This paper suggests that the measure of half-life used in the literature might be...
Persistent link: https://www.econbiz.de/10010284120