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Panel cointegration testing in the presence of a time trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …

Persistent link: https://www.econbiz.de/10003796158

A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....

Persistent link: https://www.econbiz.de/10003817215

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

Persistent link: https://www.econbiz.de/10003931103

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

Persistent link: https://www.econbiz.de/10009736650

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

Persistent link: https://www.econbiz.de/10003510803

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor …

Persistent link: https://www.econbiz.de/10009734682

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa; Chiang, Min-Hsien - 1997

In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...

Persistent link: https://www.econbiz.de/10014149909

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

Determining the Poolability of Individual Series in Panel Datasets

Kapetanios, George - 2005

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are assumed to have common values across panel units....

Persistent link: https://www.econbiz.de/10014076077

Determining the Stationarity Properties of Individual Series in Panel Datasets

Kapetanios, George - 2005

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series involved in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel...

Persistent link: https://www.econbiz.de/10014076261