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Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts

Akgun, Oguzhan; Pirotte, Alain; Urga, Giovanni; Yang, … - 2023

over all panel units and over time. The second, called C-statistics, focuses on the clustered EPA hypothesis where the EPA … holds jointly for a fixed number of clusters of panel units. The asymptotic properties of the proposed tests are evaluated …

Persistent link: https://www.econbiz.de/10014261562

Copula-based tests for cross-sectional independence in panel models

Huang, Hueng-Ming (contributor); Kao, Chihwa (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003806837

Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - 2011

Persistent link: https://www.econbiz.de/10009381370

Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

Kao, Chihwa - 2011

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

Persistent link: https://www.econbiz.de/10013127390

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Boffelli, Simona - 2014

We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measures of commonality and multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps...

Persistent link: https://www.econbiz.de/10013049140

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

Boffelli, Simona; Novotny, Jan; Urga, Giovanni - 2020

We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measure of commonality and the measure of multiplicity based on high-frequency data and define the notions of...

Persistent link: https://www.econbiz.de/10014352245