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Determining the stationarity properties of individual series in panel datasets
Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001867133
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Determining the poolability of individual series in panel datasets
Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001868048
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Tests of conditional predictive ability : a comment
McCracken, Michael W. - 2019
We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...
Persistent link: https://www.econbiz.de/10012064875
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Tests of conditional predictive ability : some simulation evidence
McCracken, Michael W. - 2019
In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...
Persistent link: https://www.econbiz.de/10011998061
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Getting PPP right : identifying mean-reverting real exchange rates in panels
Chortareas, Georgios E. (contributor);  … - 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/10003740322
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Panel estimation of the impact of foreign banks presence on selected banking indicators in Macedonia
Mitreska, Ana; Bojcheva-Terzijan, Sultanija - 2017
behaviour. We employ panel estimation method with a pooled mean group estimator. The results do confirm the thesis that foreign …
Persistent link: https://www.econbiz.de/10011702752
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On the long-run unemployment, inflation, and volatility
Fasani, Stefano - 2021
This paper builds up a simple New Keynesian model and revisits the relationship between unemployment and in ation in the long-run. It finds that when the labor market is affected by downward nominal wage rigidity, this relationship goes beyond the tradeoff between the first moments of...
Persistent link: https://www.econbiz.de/10012429726
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Income taxation and labour response : empirical evidence from a DID analysis of an income tax treatment in Italy
Bosco, Bruno; Bosco, Carlo Federico; Maranzano, Paolo - 2024
TWFE panel data Difference-in-Differences (DID) model to define the correct statistical framework of the study, and to …
Persistent link: https://www.econbiz.de/10014563801
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Debt and economic growth : does size matter? : evidence from dynamic parametric and static non-parametric approaches
Reyes-Tagle, Gerardo; Muñoz, Jorge - 2023
approaches. On the one hand, by using a panel error correction model with a sample of 130 countries between 1980 and 2020, we …
Persistent link: https://www.econbiz.de/10014461312
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Simple tests for exogeneity of a binary explanatory variable in count data regression models
Staub, Kevin E. - 2009
This article investigates power and size of some tests for exogeneity of a binary explanatory variable in count models by conducting extensive Monte Carlo simulations. The tests under consideration are Hausman contrast tests as well as univariate Wald tests, including a new test of notably easy...
Persistent link: https://www.econbiz.de/10003894183