Showing 1 - 10 of 1,000
Persistent link: https://www.econbiz.de/10001393363
This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.
Persistent link: https://www.econbiz.de/10005423859
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10005423880
The price adjustment coefficient model of Amihud and Mendelson (1987) is shown to be suitable for estimation by the Kalman filter. A techique that, under some commonly used conditions, is asymptotically efficient. By Monte Carlo simulations it is shown that both bias and mean squared error are...
Persistent link: https://www.econbiz.de/10005649164
In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.
Persistent link: https://www.econbiz.de/10005649219
We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...
Persistent link: https://www.econbiz.de/10005649231
This paper attempts to make an innovative contribution to the growth literature by proposing a trade-induced catch up model in which imitation benefit is explicitly modelled and trade knowledge spillover is considered. The resulting income dynamics is in the error correction form. The Pooled...
Persistent link: https://www.econbiz.de/10005649247
In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using...
Persistent link: https://www.econbiz.de/10005649252
We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...
Persistent link: https://www.econbiz.de/10005649265
This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...
Persistent link: https://www.econbiz.de/10005649283