Showing 111 - 120 of 134
This paper proposes the use of covariate unit root tests and the exploitation of the information on the cross-sectional dependence when the panel data null hypothesis of a unit root is rejected or when N is relatively small in order to help the interpretation of the test results. In particular,...
Persistent link: https://www.econbiz.de/10010614078
This paper proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul, Phillips and Choi (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample...
Persistent link: https://www.econbiz.de/10008566296
This paper examines the finite sample properties of estimators for approximate factor models when N is small via simulation study. Although the "rule-of-thumb" for factor models does not support using approximate factor models when N is small, we find that the principal component analysis...
Persistent link: https://www.econbiz.de/10008838433
This article proposes a new stationarity test based on the KPSS test with less size distortion. We extend the boundary rule proposed by Sul et al. (2005) to the autoregressive spectral density estimator and parametrically estimate the long-run variance. We also derive the finite sample bias of...
Persistent link: https://www.econbiz.de/10008671024
In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and T going to infinity, are shown to be standard normals. The effects of serial correlation and cross-sectional dependence...
Persistent link: https://www.econbiz.de/10010699796
In this paper, Mallows’ (1973)Cp criterion, Akaike’s (1973) AIC, Hurvich and Tsai’s (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a...
Persistent link: https://www.econbiz.de/10010664691
In this paper, we consider the role of "leads" of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. We demonstrate that the role of leads is related to the concept of Granger causality and that in some cases leads are unnecessary in...
Persistent link: https://www.econbiz.de/10005675469
We develop a new approach of statistical inference in possibly integrated/cointegrated vector autoregressions. Our method is built on the two previous approaches: the lag augmented approach by Toda and Yamamoto (1995) and the artificial autoregressions by Yamamoto (1996). We show that our...
Persistent link: https://www.econbiz.de/10009020169
Persistent link: https://www.econbiz.de/10007887051
Persistent link: https://www.econbiz.de/10007263225