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Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results
Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005
Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We … find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …
Persistent link: https://www.econbiz.de/10005645128
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A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model
Mousa, Amani; Youssef, Ahmed H.; Abonazel, Mohamed R. - Volkswirtschaftliche Fakultät, … - 2011
A particularly useful approach for analyzing pooled cross sectional and time series data is Swamy's random coefficient panel data (RCPD) model. This paper examines the performance of Swamy's estimators and tests associated with this model by using Monte Carlo simulation. The Monte Carlo study...
Persistent link: https://www.econbiz.de/10011258202
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Panel Cointegration Tests of the Fisher Hypothesis
Westerlund, Joakim - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005
Recent empirical studies suggest that the Fisher hypothesis, stating that inflation and nominal interest rates should cointegrate with a unit parameter on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be explained in part by...
Persistent link: https://www.econbiz.de/10005645089
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Mean Group Tests for Stationarity in Heterogenous Panels
Shin, Yongcheol; Snell, Andy - School of Economics, University of Edinburgh - 2004
This paper proposes the panel-based mean group tests for the null of stationarity against the alternative of unit roots …
Persistent link: https://www.econbiz.de/10005147095
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Assessing the Effect of Current Account and Currency Crises on Economic Growth
Aßmann, Christian - Institut für Volkswirtschaftslehre, … - 2008
Several empirical studies are concerned with measuring the effect of currency and current account crises on economic growth. Using different empirical models this paper serves two aspects. It provides an explicit assessment of country specific factors influencing the costs of crises in terms of...
Persistent link: https://www.econbiz.de/10005082881
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Assessing the effect of current account and currency crises on economic growth
Aßmann, Christian - Bamberg Economic Research Group on Government and … - 2011
Several empirical studies are concerned with measuring the effect of currency and current account crises on economic growth. Using different empirical models this paper serves two aspects. It provides an explicit assessment of country specific factors influencing the costs of crises in terms of...
Persistent link: https://www.econbiz.de/10009018205
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Simulation estimation for panel data models with limited dependent variables
Keane, Michael - Volkswirtschaftliche Fakultät, … - 1993
Simulation estimation in the context of panel data, limited dependent-variable (LDV) models poses formidable problems that are not present in the crosssection case. Nevertheless, a number of practical simulation estimation methods have been proposed and implemented for panel data LDV models....
Persistent link: https://www.econbiz.de/10011112867
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Real Exchange Rate Adjustment In European Transition Countries
Maican, Florin G.; Sweeney, Richard J. - Nationalekonomiska institutionen, Handelshögskolan - 2006
This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes,...
Persistent link: https://www.econbiz.de/10005651623
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Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?
Westerlund, Joakim; Basher, Syed A. - Volkswirtschaftliche Fakultät, … - 2006
A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange rates is that conventional time series tests may have low power, and that panel data should generate more powerful tests. This paper provides an extensive evaluation of this power...
Persistent link: https://www.econbiz.de/10005789565
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Mixed Signals Among Tests for Panel Cointegration
Westerlund, Joakim; Basher, Syed A. - Volkswirtschaftliche Fakultät, … - 2007
In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment...
Persistent link: https://www.econbiz.de/10005789822