Narrow search
Showing 1 - 10 of 2,970
Cover Image
Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2013
This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …
Persistent link: https://www.econbiz.de/10010187855
Cover Image
Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
Cover Image
Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54
panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between …
Persistent link: https://www.econbiz.de/10011654182
Cover Image
A likelihood ratio test for stationarity of rating transitions
Weissbach, Rafael; Walter, Ronja - 2008
; Panel data …
Persistent link: https://www.econbiz.de/10003837749
Cover Image
Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …
Persistent link: https://www.econbiz.de/10011305389
Cover Image
Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …
Persistent link: https://www.econbiz.de/10012405456
Cover Image
The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus …
Persistent link: https://www.econbiz.de/10011538958
Cover Image
A joint specification test for response probabilities in unordered multinomial choice models
Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697
Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...
Persistent link: https://www.econbiz.de/10011410669
Cover Image
Testing symmetry of unknown densities via smoothing with the generalized gamma kernels
Hirukawa, Masayuki; Sakudo, Mari - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27
This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...
Persistent link: https://www.econbiz.de/10011506402
Cover Image
Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions
Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - 2015
This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...
Persistent link: https://www.econbiz.de/10011350133