Showing 1 - 10 of 1,656
In this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the period 1970-2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual...
Persistent link: https://www.econbiz.de/10015223673
We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an...
Persistent link: https://www.econbiz.de/10015213380
We compare heteroskedasticity-robust inference methods with a large-scale Monte Carlo study based on regressions from 155 reproduction packages of leading economic journals. The results confirm established wisdom and uncover new insights. Among well established methods HC2 standard errors with...
Persistent link: https://www.econbiz.de/10015214470
Abstract This paper is concerned with the evaluation of the performance of the normality tests to ensure the validity of the t-statistics used for assessing significance of regressors in a regression model. For this purpose, we have explored 40 distributions to find the most damaging...
Persistent link: https://www.econbiz.de/10015217698
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10015218186
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10015218214
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10015220073
Many economic and financial time series show evidence of trending behavior or non stationarity in the mean. An important econometric goal is determining the most proper form of the trend in the data. The transformations of series depend on whether the series is trend stationary or difference...
Persistent link: https://www.econbiz.de/10015221234
The challenge of the econometric problem in production efficiency analysis is that the very efficiency scores to be analyzed are unobserved. Recently, statistical properties have been discovered for a class of estimators popular in the literature, known as data envelopment analysis (DEA)...
Persistent link: https://www.econbiz.de/10015225162
This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...
Persistent link: https://www.econbiz.de/10015226151