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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 Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté].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

Optimal bandwidth choice for interval estimation in GMM regression

Sun, Yixiao (contributor); Phillips, Peter C. B. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003767435

Essays in asset pricing and financial econometrics

Skoulakis, Georgios - 2006

Persistent link: https://www.econbiz.de/10003908302

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick; Scaillet, Olivier - 2007

Persistent link: https://www.econbiz.de/10003936086

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This Version: May 9, 2010

Persistent link: https://www.econbiz.de/10003968460

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

GMM estimation of the autoregressiveparameter in a spatial autoregressive errormodel using regression residuals

Arnold, Matthias (contributor) - 2007

This paper suggests an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are different from observable regression residuals. Although this difference decreases in large samples, it is...

Persistent link: https://www.econbiz.de/10003581880

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick (contributor); … - 2007

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

Persistent link: https://www.econbiz.de/10003550675

A unifying approach to the empirical evaluation of asset pricing models

Peñaranda, Francisco; Sentana, Enrique - 2010

Persistent link: https://www.econbiz.de/10008656170

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