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This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …
Persistent link: https://www.econbiz.de/10011392830
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10001731828
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10011431982
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
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
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
Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed … effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters …
Persistent link: https://www.econbiz.de/10014322772
Persistent link: https://www.econbiz.de/10001632698
Persistent link: https://www.econbiz.de/10001736260