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We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used....
Persistent link: https://www.econbiz.de/10013063182
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …
Persistent link: https://www.econbiz.de/10010276160
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …
Persistent link: https://www.econbiz.de/10010284201
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
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...
Persistent link: https://www.econbiz.de/10014357208
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed …
Persistent link: https://www.econbiz.de/10012862375
and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a …
Persistent link: https://www.econbiz.de/10013030525
; Panel data …
Persistent link: https://www.econbiz.de/10003837749
Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in … a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and …
Persistent link: https://www.econbiz.de/10014185969
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