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Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data
Banerjee, Anindya; Marcellino, Massimiliano Giuseppe; … - 2014
We show how the use of panel data methods such as those proposed in single equations by Kao (1999) and Pedroni (1999 … literature assumes that such relations, that tie the units of the panel together, are not present. Using empirical examples from … a panel of OECD countries we show that this assumption is very likely to be violated. Simulations of the properties of …
Persistent link: https://www.econbiz.de/10014135208
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10003355571
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Panels with Nonstationary Multifactor Error Structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - 2021
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10013317495
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10011630054
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10011646274
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Cointegration in panel data with breaks and cross-section dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2006
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel. …
Persistent link: https://www.econbiz.de/10011604637
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem (contributor);  … - 2007
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in … practice. -- Panel unit root tests ; cross section dependence ; multi-factor residual structure ; Fisher inflation parity …
Persistent link: https://www.econbiz.de/10003652679
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …
Persistent link: https://www.econbiz.de/10013316613
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Cointegration in Panel Data with Breaks and Cross-Section Dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2021
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel …
Persistent link: https://www.econbiz.de/10013317662
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Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper … used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …
Persistent link: https://www.econbiz.de/10012010208