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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector … errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of …
Persistent link: https://www.econbiz.de/10011302148
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Dynamic corporate capital structure behavior : empirical assessment in the light of heterogeneity and non stationarity
Bontempi, Maria Elena; Bottazzi, Laura; Golinelli, Roberto - 2015
Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...
Persistent link: https://www.econbiz.de/10011715923
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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries
Loukopoulos, Georgios - 2014
cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …
Persistent link: https://www.econbiz.de/10013044515
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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - 2003
.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …
Persistent link: https://www.econbiz.de/10011332818
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Exploiting information from singletons in panel data analysis : a GMM approach
Bruno, Randolph; Magazzini, Laura; Stampini, Marco - 2019
We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...
Persistent link: https://www.econbiz.de/10012034327
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Generalized Reduced Rank Tests using the Singular Value Decomposition
Kleibergen, Frank; Paap, Richard - 2003
.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …
Persistent link: https://www.econbiz.de/10010324817
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A note on testing for purchasing power parity
Heinen, Florian - 2011
We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk...
Persistent link: https://www.econbiz.de/10009012716
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A New Poolability Test for Cointegrated Panels
Westerlund, Joakim - 2013
This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...
Persistent link: https://www.econbiz.de/10013075469
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Nonparametric rank tests for non-stationary panels
Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …
Persistent link: https://www.econbiz.de/10009686205
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of … the efficient two-step GMM estimator is based on initial consistent parameter estimates. In this paper it is shown that … difference between the finite sample and the asymptotic variance of the two-step GMM estimator that utilises moment conditions …
Persistent link: https://www.econbiz.de/10011537937