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Long-run determinants of sovereign yields

Afonso, António; Rault, Christophe - 2010

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...

Persistent link: https://www.econbiz.de/10010270876

Bootstrap J-Test for panel data models with spatially dependent error components, a spatial lag and additional endogenous variables

Fingleton, Bernard; Palombi, Silvia - In: Spatial economic analysis : the journal of the Regional … 11 (2016) 1, pp. 7-26

Persistent link: https://www.econbiz.de/10011440452

On bootstrap inference for quantile regression panel data : a Monte Carlo study

Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics : open access journal 3 (2015) 3, pp. 654-666

This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct … confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different … bootstrapping procedures. First, the bootstrap samples are constructed by resampling only from cross-sectional units with …

Persistent link: https://www.econbiz.de/10011410652

Bootstrap inference for linear dynamic panel data models with individual fixed effects

Gonçalves, Sílvia; Melou, Maximilien Kaffo - In: Journal of econometrics 186 (2015) 2, pp. 407-426

Persistent link: https://www.econbiz.de/10011349453

Globalization and income inequality in G7 : a bootstrap panel granger causality analysis

Balan, Feyza; Torun, Mustafa; Kilic, Cuneyt - In: International journal of economics and finance 7 (2015) 10, pp. 192-203

Persistent link: https://www.econbiz.de/10011376115

An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın - In: Journal of international financial markets, … 35 (2015), pp. 18-29

Persistent link: https://www.econbiz.de/10011474678

Testing for unit roots in dynamic panels with smooth breaks and cross-sectionally dependent errors

Omay, Tolga; Hasanov, Mübariz; Shin, Yongcheol - In: Computational economics 52 (2018) 1, pp. 167-193

Persistent link: https://www.econbiz.de/10012052928

The Prebish-Singer hypothesis in the post-colonial era : evidence from panel cointegration

Di Iorio, Francesca; Fachin, Stefano - In: Economics letters 166 (2018), pp. 86-89

Persistent link: https://www.econbiz.de/10012011949

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …

Persistent link: https://www.econbiz.de/10012018487

Real convergence using TAR panel unit root tests : an application to the Southern African Development Community

Tipoy, Christian K. - In: Spoudai : journal of economics and business 69 (2019) 1/2, pp. 45-61

The African Union advocates the creation of a monetary union in stages for the entire continent starting with each of the different sub-regions. Building from that, the Southern African Development Community has, among its goals, the creation of a monetary union for its member states. However,...

Persistent link: https://www.econbiz.de/10012063030