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Multivariate methods for monitoring structural change
Groen, Jan J J; Kapetanios, George; Price, Simon - Bank of England - 2009
Detection of structural change is a critical empirical activity, but continuous 'monitoring' of time series for structural changes in real time raises well-known econometric issues. These have been explored in a univariate context. If multiple series co-break, as may be plausible, then it is...
Persistent link: https://www.econbiz.de/10008862998
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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, Mohammad 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/10010276160
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A nonlinear panel model of cross-sectional dependence
Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010
This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can …
Persistent link: https://www.econbiz.de/10010280753
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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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Testing for strict stationarity
Kapetanios, George - 2007
The investigation of the presence of structural change in economic and financial series is a major preoccupation in econometrics. A number of tests have been developed and used to explore the stationarity properties of various processes. Most of the focus has rested on the first two moments of a...
Persistent link: https://www.econbiz.de/10010284090
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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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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