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Pooled Unit Root Tests in Panels with a Common Factor

Westerlund, Joakim - Nationalekonomiska Institutionen, Ekonomihögskolan - 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/10005645226

Simple Tests for Cointegration in Dependent Panels with Structural Breaks

Westerlund, Joakim; Edgerton, David - Nationalekonomiska Institutionen, Ekonomihögskolan - 2006

This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the...

Persistent link: https://www.econbiz.de/10005419366

Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break

Arezki, Rabah; Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: Economics Letters 117 (2012) 3, pp. 814-816

run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural …

Persistent link: https://www.econbiz.de/10010594094

Multivariate unit root tests

Szafarz, Ariane; Flôres, Renato; Preumont, Pierre-Yves - Centre Emile Bernheim, Solvay Brussels School of … - 1995

This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table...

Persistent link: https://www.econbiz.de/10005558898

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Arsova, Antonia; Oersal, Deniz Dilan Karaman - 2013

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Oersal and Droge (2012) (henceforth Panel SL test) to allow for crosssectional dependence. The dependence is modelled by unobserved common factors which affect the variables in each cross-section...

Persistent link: https://www.econbiz.de/10010858065

New Simple Tests for Panel Cointegration

Westerlund, Joakim - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

We propose two new simple residual-based panel data tests for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific...

Persistent link: https://www.econbiz.de/10005645134

A note on tests of sphericity and cross-sectional dependence for fixed effects panel model

Mao, Guangyu - In: Economics Letters 122 (2014) 2, pp. 215-219

This paper theoretically explains why bias correction appears in two statistics recently developed by Baltagi et al. (2011, 2012), which are designed to test the sphericity and cross-sectional dependence of the errors in the fixed effects panel model respectively. Our explanation shows that the...

Persistent link: https://www.econbiz.de/10011041555

On the estimation and inference in factor-augmented panel regressions with correlated loadings

Westerlund, Joakim; Urbain, Jean-Pierre - In: Economics Letters 119 (2013) 3, pp. 247-250

In an influential paper, Pesaran [Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012] proposes a very simple estimator of factor-augmented regressions that has since then become very popular. In this note...

Persistent link: https://www.econbiz.de/10011041647

Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break

Matsuki, Takashi; Sugimoto, Kimiko - In: Economic Modelling 34 (2013) C, pp. 52-58

This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against … identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the …-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is …

Persistent link: https://www.econbiz.de/10010709336

Absolute Convergence Under Cross-sectional Dependence: Theory and Evidence

Das, Samarjit; Pal, Ajoy; Chakrabarty, Manisha - In: Journal of Economics and Econometrics 55 (2012) 3, pp. 46-77

This paper proposes tests for intercept homogeneity in stationary dynamic panel framework which are robust to cross-sectional dependence. We then argue that these tests can be used as a test for absolute convergence assuming that conditional convergence holds. The proposed tests are shown to...

Persistent link: https://www.econbiz.de/10011078550

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