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A Montecarlo experiment on the power of variable addition tests for parameter stability
Fachin, Stefano - In: Giornale degli economisti e annali di economia 48 (1990) 9, pp. 497-506
Persistent link: https://www.econbiz.de/10001109702
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On the power of variable addition tests for parameter stability
Fachin, Stefano - In: Oxford bulletin of economics and statistics 56 (1994) 1, pp. 77-85
Persistent link: https://www.econbiz.de/10001154038
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Searching for a trend break and testing for a unit root with trend breaks at unknown points
Fachin, Stefano - In: Giornale degli economisti e annali di economia 53 (1995) 1, pp. 135-151
Persistent link: https://www.econbiz.de/10001185050
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A note on the estimation of long-run relationships in panel equations with cross-section linkages
Di Iorio, Francesca; Fachin, Stefano - 2012
We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or...
Persistent link: https://www.econbiz.de/10009409345
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A note on the estimation of long-run relationships in panel equations with cross-section linkages
Di Iorio, Francesca; Fachin, Stefano - 2012
The authors address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as fully modified ordinary least squares and...
Persistent link: https://www.econbiz.de/10009544380
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Can you do the wrong thing and still be right? : hypothesis testing in I(2) and near-I(2) cointegrated VARs
Di Iorio, Francesca; Fachin, Stefano; Lucchetti, Riccardo - In: Applied economics 48 (2016) 37/39, pp. 3665-3678
Persistent link: https://www.econbiz.de/10011621158
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A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages
Di Iorio, Francesca - 2012
We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or...
Persistent link: https://www.econbiz.de/10013112206