Similar Search Results

Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break

Matsuki, Takashi; Sugimoto, Kimiko - In: Economic Modelling 34 (2013) C, pp. 52-58

This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against … identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the …-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is …

Persistent link: https://www.econbiz.de/10010709336

Growth and structural changes in transition countries : the chicken or the egg?

Olczyk, Magdalena; Kordalska, Aleksandra - 2018

The theoretical analysis of structural changes in the context of economic growth has a long tradition. However, studies which analyze the empirical relationship between these two economic categories are still very rare. In the literature, whether growth causes structural changes or the other way...

Persistent link: https://www.econbiz.de/10011844751

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...

Persistent link: https://www.econbiz.de/10011636497

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...

Persistent link: https://www.econbiz.de/10011307129

Growth and structural changes in transition countries: The chicken or the egg?

Olczyk, Magdalena; Kordalska, Aleksandra - 2018

Persistent link: https://www.econbiz.de/10012057316

Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation

Biørn, Erik; Klette, Tor Jakob - 1997

General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With...

Persistent link: https://www.econbiz.de/10011967962

Multiple Testing in Growth Econometrics

Deckers, Thomas; Hanck, Christoph - 2010

This paper discusses two longstanding questions in growth econometrics which involve multiple hypothesis testing. In cross sectional GDP growth regressions many variables are simultaneously tested for significance. Similarly, when investigating pairwise convergence of output in panel data sets...

Persistent link: https://www.econbiz.de/10010270240

Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors

Stauskas, Ovidijus - 2021

thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit …

Persistent link: https://www.econbiz.de/10013208900

Bootstrap Improved Inference for Factor-Augmented Regressions with CCE

De Vos, Ignace; Stauskas, Ovidijus - 2021

The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic...

Persistent link: https://www.econbiz.de/10013208907

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks 5 (2017) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011709583