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Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Department of Economics and Related Studies, University … - 2008

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … maximum number of factors, in contrast to other panel unit root tests based on principal components that require in addition …

Persistent link: https://www.econbiz.de/10005524017

Unit Roots and Cointegration in Panels

Breitung, Jörg; Pesaran, M. Hashem - Institute of Economic Policy Research (IEPR), … - 2005

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …

Persistent link: https://www.econbiz.de/10005537352

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, Jan F.; Pleus, Milan; Poldermans, Rutger - Division of Economics, Nanyang Technological University - 2014

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Persistent link: https://www.econbiz.de/10011166018

Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence

Emirmahmutoglu, Furkan; Gupta, Rangan; Miller, Stephen M.; … - Department of Economics, Faculty of Economic and … - 2014

This paper re-examines the stochastic properties of US State real per capita personal income, using new panel unit …-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel data …

Persistent link: https://www.econbiz.de/10011095430

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Persistent link: https://www.econbiz.de/10011124891

Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence

Emirmahmutoglu, Furkan; GUPTA, RANGAN; Miller, Stephen M.; … - Department of Economics, University of Connecticut - 2015

Persistent link: https://www.econbiz.de/10011207434

Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?

Costantini, Mauro; Lupi, Claudio - Dipartimento di Economia, Gestione, Società e … - 2014

Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are … simulations based on generating the individual test statistics and the p values to be combined into panel unit root tests, both …

Persistent link: https://www.econbiz.de/10010907629

Panel unit root tests in the presence of a multifactor error structure

Pesaran, M. Hashem; Vanessa Smith, L.; Yamagata, Takashi - In: Journal of Econometrics 175 (2013) 2, pp. 94-115

This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case … of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross …

Persistent link: https://www.econbiz.de/10011052269

Bootstrap inference in single equation error correction models

Herwartz, Helmut; Neumann, Michael H. - Sonderforschungsbereich 373, Quantifikation und … - 2000

In the sequel of its seminal application in Davidson, Hendry, Srba and Yeo (1978) the single equation error correction model has been widely used in empirical practice. Providing a clear distinction between short- and long-run dynamics this model allows OLS-methods to be as efficient as...

Persistent link: https://www.econbiz.de/10010956432

The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study

Wagner, Martin; Hlouskova, Jaroslava - Department of Economics and Finance Research and … - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic …

Persistent link: https://www.econbiz.de/10005764198