We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based Lagrange multiplier-type...

The aim of this article is to investigate the causal relationship between remittances and poverty reduction for 14 emerging and developing countries over the period 1980 - 2012. We proposed a cointegration analysis, using the method of non-stationary dynamic panel data. Our estimation results...

Die Corona-Krise trifft die Golfstaaten auf besondere Weise. Neben den direkten Folgen hat die Pandemie die Nachfrage nach der wichtigsten Einnahmequelle einbrechen lassen, dem Erdöl. Der ohnehin durch den jüngsten Preiskrieg zwischen Saudi-Arabien und Russland gedrückte Ölpreis stürzte im...

The African Union advocates the creation of a monetary union in stages for the entire continent starting with each of the different sub-regions. Building from that, the Southern African Development Community has, among its goals, the creation of a monetary union for its member states. However,...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...

There are many different approaches to the process of stress testing and two of them will be investigated in this paper. The first one is a stress test performed on aggregated data i.e. the banking system as a whole. The variable of interest in both exercises is the Loan Loss Provision ratio...

Using a three-stage multilevel model, this paper investigates whether the compensation of female and male members of top management teams differs systematically. For this, the payment and the determinants of compensation of approximately 600 executive board members of German DAX, MDAX, and SDAX...