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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013
This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …
Persistent link: https://www.econbiz.de/10010187855
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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10010293028
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
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A likelihood ratio test for stationarity of rating transitions
Weissbach, Rafael; Walter, Ronja - 2008
; Panel data …
Persistent link: https://www.econbiz.de/10003837749
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …
Persistent link: https://www.econbiz.de/10011305389
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …
Persistent link: https://www.econbiz.de/10012405456
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The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus …
Persistent link: https://www.econbiz.de/10011538958
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Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept
Knüppel, Malte - 2004
In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...
Persistent link: https://www.econbiz.de/10010295668
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Detecting Serial Dependence in Tail Events
Diks, Cees - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10010324850
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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo; Kapetanios, George - 2008
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10011604896