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Tests for Parameter Instability in Dynamic Factor Models
Han, Xu - 2014
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
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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
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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023
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
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A Consistent LM Type Specification Test for Semiparametric Panel Data Models
Korolev, Ivan - 2019
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed …
Persistent link: https://www.econbiz.de/10012862375
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A likelihood ratio test for stationarity of rating transitions
Weissbach, Rafael; Walter, Ronja - 2008
; Panel data …
Persistent link: https://www.econbiz.de/10003837749
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Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
Moon, Hyungsik Roger; Perron, Benoit - 2011
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
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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
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Testing for Structural Changes in Large Dimensional Factor Models via Discrete Fourier Transform
Fu, Zhonghao - 2020
We propose a new test for structural changes in large dimensional factor models via a discrete Fourier transform (DFT) approach. If structural changes occur, the conventional principal component analysis fails to estimate common factors and factor loadings consistently. The estimated residuals...
Persistent link: https://www.econbiz.de/10012838882
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Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Lahiri, Kajal - 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/10013017623
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Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021
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/10013251262