Similar Search Results

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Binder, M.; Hsaio, C.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …

Persistent link: https://www.econbiz.de/10005113820

Nonparametric rank tests for non-stationary panels

Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - 2011

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …

Persistent link: https://www.econbiz.de/10010290983

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables. Small sample quantiles for these wavelet statistics are obtained …

Persistent link: https://www.econbiz.de/10011004134

El filtro de lineas aereas modificadas, integrabilidad y cointegracion

Castro, Tomas del Barrio; Lopez, Miguel Juan Clar; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 1996

particular we analize the topics of integrability and cointegration; secondly we analize the main characteristics of the LAM …

Persistent link: https://www.econbiz.de/10005176388

Bounds Testing Approaches to the Analysis of Long-run Relationships

Pesaran, M. Hashem; Shin, Y.; Smith, R.J. - Faculty of Economics, University of Cambridge - 1999

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

Persistent link: https://www.econbiz.de/10005489331

Bounds Testing Approaches to the Analysis of Long Run Relationships

Pesaran, M; Shin, Yongcheol; Smith, Richard J - School of Economics, University of Edinburgh - 2004

This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests...

Persistent link: https://www.econbiz.de/10005750733

Testing for the Existence of a Long-Run Relationship

Pesaran, M.H.; Shin, Y.; Smith, R.J. - 1996

This paper develops a new approach to testing for the existence of a linear long-run relationship, when the orders of integration of the underlying regressors are not known with certainty. The test is the standard Wald or F - statistic for testing the significance of the lagged levels of the...

Persistent link: https://www.econbiz.de/10005641030

Nonparametric Rank Tests for Non-stationary Panels

Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 2011

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …

Persistent link: https://www.econbiz.de/10009132675

Nonparametric rank tests for non-stationary panels

Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...

Persistent link: https://www.econbiz.de/10011190711

Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de Métodos Cuantitativos para la Economía y … 09 (2010), pp. 3-16

Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...

Persistent link: https://www.econbiz.de/10010282680