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Inferential theory for heterogeneity and cointegration in large panels

Trapani, Lorenzo - In: Journal of econometrics 220 (2021) 2, pp. 474-503

Persistent link: https://www.econbiz.de/10012618525

A new structural break test for panels with common factors

Zhu, Huanjun; Sarafidis, Vasilis; Silvapulle, Mervyn J. - In: The econometrics journal 23 (2020) 1, pp. 137-155

Persistent link: https://www.econbiz.de/10012167253

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10011332818

Why are Muslim countries underdeveloped? : a system GMM approach

Al Fozaie, Mohammad Tariq; Wahid, Hairunnizam - In: Journal of economic cooperation & development 42 (2022) 4, pp. 45-76

Persistent link: https://www.econbiz.de/10014430853

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Persistent link: https://www.econbiz.de/10001537510

A finite sample correction for the variance of linear efficient two-step GMM estimators

Windmeijer, Frank - In: Journal of econometrics 126 (2005) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10002538627

Factor productivity nexus economic growth in Sub-Saharan Africa : symmetric and asymmetric panel approaches

Worku, Urgaia R. - In: World development sustainability 5 (2024), pp. 1-14

This study examines the effect and role of total factor productivity with other major determinants on economic growth in the Sub-Saharan Africa(SSA).It employs the data obtained from the World Bank Development Indicators spanning from 1990 to 2022 using panel ARDL, GMM and their extended...

Persistent link: https://www.econbiz.de/10015194187

A common-feature approach for testing present-value restrictions with financial data

Hecq, Alain W. J.; Issler, João Victor - 2011

Persistent link: https://www.econbiz.de/10009532945

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10003796125