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A More Powerful Panel Unit Test with an Application to PPP
Lau, Chi Keung Marco - 2009
Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit root tests and makes it possible for researchers testing individual series for a unit root while taking contemporaneous cross-sectional dependence into account. The proposed...
Persistent link: https://www.econbiz.de/10012764810
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Panel Data Unit Root Tests with an Application
Konya, Laszlo - 2001
Using several different unit root/stationarity tests on single time series Konya (2000) found the logarithm of real GDP of most OECD countries behaving as a random walk during the last four decades. This outcome, however, might be due to the generally low power of these tests. The aim of this...
Persistent link: https://www.econbiz.de/10014132219
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On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence
Bai, Jushan - 2011
Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is … difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a …
Persistent link: https://www.econbiz.de/10013126684
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IV-based cointegration testing in dependent panels with time-varying variance
Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011
While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …
Persistent link: https://www.econbiz.de/10009672473
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Getting PPP right : identifying mean-reverting real exchange rates in panels
Chortareas, Georgios E. (contributor);  … - 2008
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10003740322
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Getting PPP Right : Identifying Mean-Reverting Real Exchange Rates in Panels
Chortareas, Georgios E.; Kapetanios, George - 2005
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10014070521
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...
Persistent link: https://www.econbiz.de/10012943386
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...
Persistent link: https://www.econbiz.de/10012943450
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Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects
Robinson, Peter M; Velasco, Carlos - Suntory and Toyota International Centres for Economics … - 2013
A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as to estimate the fractional parameter. Like models with autoregressive...
Persistent link: https://www.econbiz.de/10011003915
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...
Persistent link: https://www.econbiz.de/10012946881