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Meta-analytic cointegrating rank tests for dependent panels
Karaman Örsal, Deniz Dilan; Arsova, Antonia - 2015
This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual...
Persistent link: https://www.econbiz.de/10011392830
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Unit Roots and Cointegration in Panels
Breitung, Jörg - 2016
This paper provides a review of the literature on unit roots and cointegration …
Persistent link: https://www.econbiz.de/10012991206
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Unit Roots and Cointegration in Panels
Breitung, Jörg; Pesaran, M. Hashem - 2021
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10013318328
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...
Persistent link: https://www.econbiz.de/10010476668
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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
Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these...
Persistent link: https://www.econbiz.de/10011654182
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan F. - 2015
The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...
Persistent link: https://www.econbiz.de/10013028784
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A More Powerful Panel Unit Test with an Application to PPP
Lau, Chi Keung Marco - 2009
Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit root tests and makes it possible for researchers testing individual series for a unit root while taking contemporaneous cross-sectional dependence into account. The proposed...
Persistent link: https://www.econbiz.de/10012764810
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10013316613
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Panel Data Unit Root Tests with an Application
Konya, Laszlo - 2001
Using several different unit root/stationarity tests on single time series Konya (2000) found the logarithm of real GDP of most OECD countries behaving as a random walk during the last four decades. This outcome, however, might be due to the generally low power of these tests. The aim of this...
Persistent link: https://www.econbiz.de/10014132219
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On the Panel Unit Root Tests Using Nonlinear Instrumental Variables
Im, Kyung So; Pesaran, M. Hashem - 2004
This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of the t-statistics when integrable functions of lagged dependent variable are used as instruments even if the original series are cross sectionally dependent. From this rather...
Persistent link: https://www.econbiz.de/10014074026