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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries
Loukopoulos, Georgios - 2014
The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and...
Persistent link: https://www.econbiz.de/10013044515
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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
is discussed in terms of the leading example of bootstrap-based hypothesis testing in the well-known first order auto … conditions and their implications for possible improvements in terms of (empirical) size and power for bootstrap-based testing …, when compared to asymptotic testing, are illustrated by simulations. Following this, an overview of selected recent …
Persistent link: https://www.econbiz.de/10012835479
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Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models
Kapetanios, George; Shin, Yongcheol - 2005
paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of …
Persistent link: https://www.econbiz.de/10014076075
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A Sharp Test for the Judge Leniency Design
Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024
We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...
Persistent link: https://www.econbiz.de/10014544734
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Identification, Weak Instruments, and Statistical Inference in Econometrics
Dufour, Jean-Marie - 2003
We discuss statistical inference problems associated with identification and testability in econometrics. We consider … approximations. In non-parametric models, such problems include testing moments and inference under heteroscedasticity or serial …
Persistent link: https://www.econbiz.de/10014074912
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An introduction to bootstrap theory in time series econometrics
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - 2020
Persistent link: https://www.econbiz.de/10012319239
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Time series modelling using TSMod 3.24
Bos, Charles S. - 2003
TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.
Persistent link: https://www.econbiz.de/10011334344
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Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the...
Persistent link: https://www.econbiz.de/10012010208
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Spurious long-horizon regression in econometrics
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2010
asymptotically correct inferential procedure for testing the null hypothesis of no relationship in a LHR, which works whether the …
Persistent link: https://www.econbiz.de/10008656734
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Type I Spurious Regression in Econometrics
Chiarella, Carl - 2006
In applied econometrics researchers often infer the relation among nonstationary time series by regression of their …
Persistent link: https://www.econbiz.de/10012734590