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Panel cointegration testing in the presence of linear time trends

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Econometrics : open access journal 4 (2016) 4, pp. 1-16

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under … demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the …

Persistent link: https://www.econbiz.de/10011650477

Chapter 4 The new empirics of economic growth

Durlauf, Steven N.; Quah, Danny T. - In: Handbook of macroeconomics : volume 1, part A, (pp. 235-308). 1999

We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....

Persistent link: https://www.econbiz.de/10014024246

Design-robust two-way-fixed-effects regression for panel data

Arkhangelsky, Dmitry; Imbens, Guido; Lei, Lihua; Luo, … - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 999-1034

We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general …

Persistent link: https://www.econbiz.de/10015190081

Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 184 (2015) 1, pp. 174-192

Persistent link: https://www.econbiz.de/10011326795

Monitoring cointegrating polynomial regressions : theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions

Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - In: Econometrics : open access journal 9 (2021) 1, pp. 1-35

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be...

Persistent link: https://www.econbiz.de/10012503985

Cao, Shiyun; Zhou, Qiankun - In: Econometrics : open access journal 10 (2022) 3, pp. 1-27

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error …

Persistent link: https://www.econbiz.de/10013459498

Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects

Yoon, Jungmo; Galvao, Antonio Fialho <Jr.> - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 579-608

This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed …

Persistent link: https://www.econbiz.de/10012213981

Threshold regression with endogeneity for short panels

Gørgens, Tue; Würtz, Allan H. - In: Econometrics : open access journal 7 (2019) 2/23, pp. 1-8

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …

Persistent link: https://www.econbiz.de/10012025781

Missing values in panel data unit root tests

Karavias, Yiannis; Tzavalis, Elias; Zhang, Haotian - In: Econometrics : open access journal 10 (2022) 1, pp. 1-11

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel … data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a … common time period for all units. However, this approach can be costly in terms of lost information. Instead, existing panel …

Persistent link: https://www.econbiz.de/10013041203

Har testing for spurious regression in trend

Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics : open access journal 7 (2019) 4/50, pp. 1-28

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...

Persistent link: https://www.econbiz.de/10012160687