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Efficient inference on fractionally integrated panel data models with fixed effects

Robinson, Peter M.; Velasco, Carlos - In: Journal of Econometrics 185 (2015) 2, pp. 435-452

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

Persistent link: https://www.econbiz.de/10011190712

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

Asymmetric Capital Structure Adjustments : New Evidence from Dynamic Panel Threshold Models

Dang, Viet Anh - 2012

We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms' adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as...

Persistent link: https://www.econbiz.de/10013116879

A New Poolability Test for Cointegrated Panels

Westerlund, Joakim - 2013

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...

Persistent link: https://www.econbiz.de/10013075469

Evaluating factor pricing models using high-frequency panels

Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933

results show that the conventional pricing factors have difficulty in explaining the cross section of stock returns. In …

Persistent link: https://www.econbiz.de/10011800879

Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology...

Persistent link: https://www.econbiz.de/10013002313

Panel data gravity models of international trade

Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2014

of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective … across pairs or regional units or even across cross-sectional units and time inevitably leads to a panel data structure of …

Persistent link: https://www.econbiz.de/10010237192

A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects

Hayakawa, Kazuhiko; Nagata, Shuichi; Yamagata, Takashi - 2018

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...

Persistent link: https://www.econbiz.de/10011879510

Latent Factor Analysis in Short Panels

Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2023

statistic for tests of the number of factors. We derive the AUMPI characterization from inequalities ensuring the monotone … market based on the selected number of factors. We observe an uptrend in idiosyncratic volatility while the systematic risk … reveal that observed factors struggle spanning latent factors with a discrepancy between the dimension of the two factor …

Persistent link: https://www.econbiz.de/10014350141

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no obvious control group. Usually, the proposed methods are based on the...

Persistent link: https://www.econbiz.de/10011579472