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Deckers, Thomas; Hanck, Christoph - 2010

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

IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance

Hanck, Christoph; Demetrescu, Matei; Tarcolea, Adina - 2012

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

Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator

Demetrescu, Matei; Hanck, Christoph - 2010

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

Testing for Serial Correlation in Fixed-Effects Panel Data Models

Born, Benjamin; Breitung, Jörg - 2010

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

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

Czudaj, Robert; Hanck, Christoph - 2013

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

The Romanian consumer's perception on the whole grains market: Opportunities and barriers consumption

Pop, Ruxandra-Eugenia; Rusu, Alecsandra - 2023

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

Determining factors in Romanian consumer behavior on the nuts market (nuts, cashews, almonds, pistachios)

Pop, Ruxandra-Eugenia - 2022

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

Evaluating misspecification in DSGE models using tests for overidentifying restrictions

Reicher, Christopher Phillip - 2013

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 Empirical (Ir)Relevance of the Interest Rate Assumption for Central Bank Forecasts

Knüppel, Malte; Schultefrankenfeld, Guido - 2013

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

Overidentification test in a nonparametric treatment model with unobserved heterogeneity

Sarnetzki, Florian; Dzemski, Andreas - 2014

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