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A multivariate linear rank test of independence based on a multiparametric copula with cubic sections
Mangold, Benedikt - 2015
This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests...
Persistent link: https://www.econbiz.de/10011333620
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Center-outward sign- and rank-based quadrant, spearman, and Kendall tests for multivariate independence
Hallin, Marc; Shi, Hongjian; Drton, Mathias; Han, Fang - 2021
Persistent link: https://www.econbiz.de/10012694896
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Structural differences in economic growth
Basturk, Nalan; Paap, Richard; Dijk, Dick van - 2008
finite mixture panel model and endogenous clustering to examine cross-country differences and similarities in the effects of … growth determinants. Applying this approach to an annual unbalanced panel of 59 countries in Asia, Latin and Middle America …
Persistent link: https://www.econbiz.de/10011377062
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Nonstationary panel models with latent group structures and cross-section dependence
Huang, Wenxin; Jin, Sainan; Phillips, Peter C. B.; Su, … - In: Journal of econometrics 221 (2021) 1, pp. 198-222
Persistent link: https://www.econbiz.de/10012618820
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Testing for the cointegration rank when some cointegrating directions are changing
Andrade, Philippe; Bruneau, Catherine; Grégoir, Stéphane - In: Journal of econometrics 124 (2005) 2, pp. 269-310
Persistent link: https://www.econbiz.de/10002515549
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On the finite-sample performance of measure transportation-based multivariate rank tests
Hallin, Marc; Mordant, Gilles - 2021
Persistent link: https://www.econbiz.de/10012698528
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Factor structures in panel and multivariate time series data
Palm, Franz C. (contributor);  … - 2011
Persistent link: https://www.econbiz.de/10009270428
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ArCo : an artificial counterfactual approach for high-dimensional panel time-series data
Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - In: Journal of econometrics 207 (2018) 2, pp. 352-380
Persistent link: https://www.econbiz.de/10012116360
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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo (contributor);  … - 2008
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...
Persistent link: https://www.econbiz.de/10003636063
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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo; Kapetanios, George - In: Econometric reviews 28 (2009) 6, pp. 581-611
Persistent link: https://www.econbiz.de/10003881191