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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001
restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …
Persistent link: https://www.econbiz.de/10010293028
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Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors
Stauskas, Ovidijus - 2021
A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...
Persistent link: https://www.econbiz.de/10013208900
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Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
De Vos, Ignace; Stauskas, Ovidijus - 2021
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel …
Persistent link: https://www.econbiz.de/10013208907
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Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations
Stanescu, Silvia; Tunaru, Radu; Candradewi, Made Reina - In: International Review of Financial Analysis 34 (2014) C, pp. 177-188
, using both time series and panel data. A first battery of tests establishes that the observed differences are statistically …
Persistent link: https://www.econbiz.de/10010931488
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GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
Robertson, Donald; Sarafidis, Vasilis; Westerlund, Joakim - Volkswirtschaftliche Fakultät, … - 2014
This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a …
Persistent link: https://www.econbiz.de/10011259926
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
Hadri, Kaddour; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross …
Persistent link: https://www.econbiz.de/10005675541
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
Hadri, Kaddour; Kurozumi, Eiji - Center for Research on Contemporary Economic Systems, … - 2008
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross …
Persistent link: https://www.econbiz.de/10005748661
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Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break
Arezki, Rabah; Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: Economics Letters 117 (2012) 3, pp. 814-816
run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural …
Persistent link: https://www.econbiz.de/10010594094
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A Bootstrap Cointegration Rank Test for Panels of VAR Models
Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010
. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood … function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A …. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties …
Persistent link: https://www.econbiz.de/10008752898
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A Practical Note on the Determination of the Number of Factors Using Information Criteria with Data-Driven Penalty
Westerlund, Joakim; Mishra, Sagarika - Deakin University, Faculty of Business and Law, School …
As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and...
Persistent link: https://www.econbiz.de/10011039081