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Real Interest Rate Parity in OECD Countries : New Evidence from Time Series and Panel Cointegration Techniques

Magonis, George - 2016

We examine the existence of Real Interest Rate Parity (RIRP) for a number of Organisation for Economic Co-operation and Development (OECD) countries. Using time series techniques, we manage to identify cointegrating relationships. For a subset of countries our findings suggest the existence of a...

Persistent link: https://www.econbiz.de/10013007999

Unit Roots and Cointegration in Panels

Breitung, Jörg - 2016

This paper provides a review of the literature on unit roots and cointegration …

Persistent link: https://www.econbiz.de/10012991206

Hedging against inflation : housing vs. equity

Fehrle, Daniel - 2021

To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price...

Persistent link: https://www.econbiz.de/10012544584

Dynamic corporate capital structure behavior : empirical assessment in the light of heterogeneity and non stationarity

Bontempi, Maria Elena; Bottazzi, Laura; Golinelli, Roberto - 2015

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

Persistent link: https://www.econbiz.de/10011715923

Remittances and Growth in Latin America : A Panel Unit Root and Panel Cointegration Analysis

Ramirez, Miguel D.; Sharma, Hari - 2008

Using recently developed panel unit root and panel cointegration tests and the Fully-Modified OLS (FMOLS) methodology … of the macro variables included in the model exhibit unit roots, yet, at the same time, Pedroni's panel cointegration …

Persistent link: https://www.econbiz.de/10014217138

International R&D Spillovers : An Application of Estimation and Inference in Panel Cointegration

Kao, Chihwa; Chiang, Min-Hsien; Chen, Bangtian - 2011

In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and …

Persistent link: https://www.econbiz.de/10014183549

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa; Chiang, Min-Hsien - 1997

In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...

Persistent link: https://www.econbiz.de/10014149909

The Long-Run Relationship between House Prices and Income : Evidence from Local Housing Markets

Gallin, Joshua - 2003

using 27 years of national-level data do not find evidence of cointegration. However, it is known that tests for … cointegration have low power, especially in small samples. I use panel-data tests for cointegration that have been shown to be more … powerful than their standard time-series counterparts to test for cointegration in a panel of 95 metro areas over 23 years …

Persistent link: https://www.econbiz.de/10014084461

Nonstationary Panels, Cointegration in Panels and Dynamic Panels : A Survey

Baltagi, Badi H. - 2011

This paper provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests …, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models …

Persistent link: https://www.econbiz.de/10013127093

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa - 2011

The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results...

Persistent link: https://www.econbiz.de/10013127238