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Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010280808

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

Persistent link: https://www.econbiz.de/10010282124

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 interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions...

Persistent link: https://www.econbiz.de/10010280753

The performance of panel cointegration methods: Results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...

Persistent link: https://www.econbiz.de/10010293988

Estimating the technology of cognitive and noncognitive skill formation

Cunha, Flavio; Heckman, James Joseph; Schennach, Susanne - 2010

This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...

Persistent link: https://www.econbiz.de/10010274255

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10010295747

Sequential control of time series by functionals of kernel-weighted empirical processes under local alternatives

Steland, Ansgar - 2003

Motivated in part by applications in model selection in statistical genetics and sequential monitoring of financial data, we study an empirical process framework for a class of stopping rules which rely on kernel-weighted averages of past data. We are interested in the asymptotic distribution...

Persistent link: https://www.econbiz.de/10010306277

Optimal sequential kernel detection for dependent processes

Steland, Ansgar - 2003

In many applications one is interested to detect certain (known) patterns in the mean of a process with smallest delay. Using an asymptotic framework which allows to capture that feature, we study a class of appropriate sequential nonparametric kernel procedures under local nonparametric...

Persistent link: https://www.econbiz.de/10010306289

Impact of climate on tourist demand

Lise, Wietze; Tol, Richard S. J. - 2001

Tourism, being volatile and situation-specific, is responsive to climate change. A cross-section analysis is conducted on destinations of OECD tourists and a factor and regression analysis on holiday activities of Dutch tourists, to find optimal temperatures at travel destination for different...

Persistent link: https://www.econbiz.de/10011608810

On PPP, unit roots and panels

Wagner, Martin - 2005

This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for cross-sectionally uncorrelated panels. Given that...

Persistent link: https://www.econbiz.de/10010293741

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