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Multiple Testing in Growth Econometrics
Deckers, Thomas; Hanck, Christoph - 2010
investigating pairwise convergence of output in panel data sets of n countries, n(n-1)/2 tests are performed. We propose to control …
Persistent link: https://www.econbiz.de/10010270240
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Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
De Vos, Ignace; Stauskas, Ovidijus - 2021
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel …
Persistent link: https://www.econbiz.de/10013208907
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GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
Robertson, Donald; Sarafidis, Vasilis; Westerlund, Joakim - Volkswirtschaftliche Fakultät, … - 2014
This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a …
Persistent link: https://www.econbiz.de/10011259926
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Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions
Dufour, Jean-Marie; Khalaf, Lynda - Groupe de recherche en économie de l'énergie, de … - 2001
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696246
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Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions
Dufour, Jean-Marie; Khalaf, Lynda - Département d'Économique, Université Laval - 2001
In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...
Persistent link: https://www.econbiz.de/10005696420
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Taking a new contour: A novel approach to panel unit root tests
Chang, Yoosoon - In: Journal of Econometrics 169 (2012) 1, pp. 15-28
to invent tools and methodologies for effective inferences in panel unit root models. Simulations show that our approach …
Persistent link: https://www.econbiz.de/10010574097
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A Bootstrap Cointegration Rank Test for Panels of VAR Models
Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010
. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood … function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A …. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties …
Persistent link: https://www.econbiz.de/10008752898
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10010324912
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938