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This paper discusses two longstanding questions in growth econometrics which involve multiple hypothesis testing. In cross sectional GDP growth regressions many variables are simultaneously tested for significance. Similarly, when investigating pairwise convergence of output in panel data sets...
Persistent link: https://www.econbiz.de/10010270240
While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...
Persistent link: https://www.econbiz.de/10010310135
bootstrap application are required to this end, unlike for the ADF test. When adjusting the differences for deterministic …
Persistent link: https://www.econbiz.de/10010270299
In this paper, we propose three new tests for serial correlation in the disturbances of fixed-effects panel data models. First, a modified Bhargava, Franzini and Narendranathan (1982) panel Durbin-Watson statistic that does not need to be tabulated as it follows a standard normal distribution....
Persistent link: https://www.econbiz.de/10010270757
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when there are structural breaks in the innovation...
Persistent link: https://www.econbiz.de/10010329271
Within the internal research plan of the Research Institute for Agrarian Economy and Rural Development, runs the project entitled "Marketing studies for sustainable agri-food products and consumption behavior analysis, in the European Strategy from farm to Fork objectives context". This paper...
Persistent link: https://www.econbiz.de/10015049582
Within the internal research plan of the Research Institute for Agrarian Economy and Rural Development, the project entitled "Marketing studies for sustainable agri-food products and analysis of consumption behavior, in the objectives context of the European strategy From farm to Fork (From farm...
Persistent link: https://www.econbiz.de/10015049615
In this paper I discuss the estimation of the process governing the structural shocks (or wedges) to a DSGE model, arguing that a well-specified model would satisfy certain sets of moment conditions. Based on tests for overidentifying restrictions, I compare three specifications of the Taylor...
Persistent link: https://www.econbiz.de/10010329469
The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...
Persistent link: https://www.econbiz.de/10010329547
investigate the validity and finite sample performance of an easy-to-implement wild bootstrap procedure. Finally, we illustrate … a multiplier bootstrap to conduct inference in a treatment model with nonparametrically estimated regressors. Our … simulations illustrate that a much easier to implement na ve wild bootstrap procedure can have good properties. In our application …
Persistent link: https://www.econbiz.de/10010396750