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Determining the Stationarity Properties of Individual Series in Panel Datasets

Kapetanios, George - 2005

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series involved in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel...

Persistent link: https://www.econbiz.de/10014076261

On Testing for Diagonality of Large Dimensional Covariance Matrices

Kapetanios, George - School of Economics and Finance, Queen Mary - 2004

Datasets in a variety of disciplines require methods where both the sample size and the dataset dimensionality are allowed to be large. This framework is drastically different from the classical asymptotic framework where the number of observations is allowed to be large but the dimensionality...

Persistent link: https://www.econbiz.de/10005106434

Bootstrapping Error Component Models

Andersson, Michael K.; Karlsson, Sune - Economics Institute for Research (SIR), … - 1999

This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size. There is thus little or no reason not to use the bootstrap...

Persistent link: https://www.econbiz.de/10005649435

Una prueba simple para regresiones espurias

Noriega, Antonio E.; Ventosa-Santaulària, Daniel - 2011

It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...

Persistent link: https://www.econbiz.de/10010322603

Testing for Structural Breaks

Gregory, Allan W.; Nason, James M. - 1991

to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the … failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients …

Persistent link: https://www.econbiz.de/10011940489

residual-Based Tests for Cointegration in Models with Regime Shifts

w. Gregory, Allan; Hansen, Bruce E. - 1992

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

Persistent link: https://www.econbiz.de/10011940524

Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study

Eriksson, Åsa - 2004

In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The … cointegration vector, but the Johansen (1991) test fares slightly better than the Kwiatkowski et al (1992) test. Applying a Bartlett …

Persistent link: https://www.econbiz.de/10013208469

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

Persistent link: https://www.econbiz.de/10003919736

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

, 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

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382