Showing 11 - 20 of 756,942
Persistent link: https://www.econbiz.de/10001690295
Persistent link: https://www.econbiz.de/10002693296
Persistent link: https://www.econbiz.de/10003124732
Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed...
Persistent link: https://www.econbiz.de/10013132413
Persistent link: https://www.econbiz.de/10014383879
In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...
Persistent link: https://www.econbiz.de/10013127390
Persistent link: https://www.econbiz.de/10009500252
Persistent link: https://www.econbiz.de/10009381370
, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …
Persistent link: https://www.econbiz.de/10009728982
Persistent link: https://www.econbiz.de/10009667003