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or clustering type behaviour. At an econometric level, the model is shown to nest various extant dynamic panel data …This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross … models. These include panel AR models, spatial models, which accommodate weak dependence only, and panel models where cross …
Persistent link: https://www.econbiz.de/10011052336
or clustering type behaviour. At an econometric level, the model is shown to nest various extant dynamic panel data …This paper proposes a nonlinear panel data model which can generate endogenously both `weak' and `strong' cross … models. These include panel AR models, spatial models, which accommodate weak dependence only, and panel models where cross …
Persistent link: https://www.econbiz.de/10009647759
We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...
Persistent link: https://www.econbiz.de/10005599304
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005489360
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005094264
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005101822
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005703526
Recently some new techniques have been proposed for the estimation of the slope coefficients in presence of unobserved … components. Though, the presence of common observed and unobserved factors is neither considered or the estimation of their …
Persistent link: https://www.econbiz.de/10008685061
we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional …
Persistent link: https://www.econbiz.de/10005604790
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term …
Persistent link: https://www.econbiz.de/10008727797