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Improving the Finite-Sample Estimators of Cointegrated Panel Models
Sender, Samuel J. - 2014
-step OLS estimator that is biased, and has weak power and size, FMOLS also has poor finite-T properties. I show that FMOLS … asymptotically leave an O(h/T) fraction of the OLS bias, where h is the selected bandwidth.I also propose an improved estimator … (asymptotically) nuisance parameter-free. My improved estimator permits analysing wider panels.In the scenarios reviewed by previous …
Persistent link: https://www.econbiz.de/10013064659
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Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels
Sender, Samuel J. - 2017
Phillips and Hansen (1990) that use a spectral [non-parametric] estimation of the residual asymptotic covariance matrix to … introduce new, compact notations for the fixed-b limits of spectral covariance estimators. This permits us to construct T …-consistent semi-parametric estimators: a simple estimator that estimates and subtracts the OLS bias, and a pseudo-exogenised estimator …
Persistent link: https://www.econbiz.de/10012970628
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The discovery of long-run causal order : a preliminary investigation
Hoover, Kevin D. - In: Econometrics : open access journal 8 (2020) 3/31, pp. 1-24
The relation between causal structure and cointegration and long-run weak exogeneity is explored using some ideas drawn from the literature on graphical causal modeling. It is assumed that the fundamental source of trending behavior is transmitted from exogenous (and typically latent) trending...
Persistent link: https://www.econbiz.de/10012265689
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Capital mobility in Latin American and Caribbean countries : new evidence from dynamic common correlated effects panel data modeling
Murthy, Vasudeva N. R.; Ketenci, Natalya Shevchik - In: Financial innovation : FIN 6 (2020) 48, pp. 1-17
run, while the long-run solvency condition is maintained, which is due to reduced frictions in goods and services markets …
Persistent link: https://www.econbiz.de/10012418410
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Aggregate Import Demand Function for Pakistan : Analysis in the Form of Old and Relatively New Cointegration Techniques
Hye, Qazi Muhammad Adnan - 2010
The present study estimates an aggregate import demand function for the Pakistan economy during the period 1971- 2007. In this empirical analysis, previous and relatively new robust cointegration techniques like Engle Granger (1987), Johansen and Juselius (1990), and the autoregressive...
Persistent link: https://www.econbiz.de/10013136195
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Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012138849
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Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change
Marçal, Emerson Fernandes; Barbi, Fernando C. - 2011
This paper aims to estimate the equilibrium real exchange rate for the Brazilian economy. The equilibrium exchange rate is defined as the level of exchange rate that guarantees the stability of the net foreign asset position over time. An econometric model is estimated using a Vector Error...
Persistent link: https://www.econbiz.de/10014214666
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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355167
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Estimating saving-investment correlations evidence for OECD countries based on an error correction model
Jansen, Willem J. - 1994
Persistent link: https://www.econbiz.de/10000151686
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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r r0. Such a test flips the null and alternative hypotheses of Johansen's LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank....
Persistent link: https://www.econbiz.de/10009578561