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type="main" xml:id="jtsa12071-abs-0001"The distributions of cointegration tests are affected when the innovation variance varies over time. In panels, one must also pay attention to dependence among units. To obtain a panel cointegration test robust to both heteroskedasticity and dependence, we...
Persistent link: https://www.econbiz.de/10011153171
Persistent link: https://www.econbiz.de/10004966067
We use meta-analytic procedures to develop new tests for panel cointegration, combining p-values from time-series cointegration tests on the units of the panel. The tests are robust to heterogeneity and cross-sectional dependence between the panel units. To achieve the latter, we employ a sieve...
Persistent link: https://www.econbiz.de/10004966829
Persistent link: https://www.econbiz.de/10005061343
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10005765840
Using PIRLS (Progress in International Reading Literacy Study) data, we investigate which countries' schools can be be classified as significantly better or weaker than Germany's as regards the reading literacy of primary school children. The `standard' approach is to conduct separate tests for...
Persistent link: https://www.econbiz.de/10005616795
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10005761392
This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test.To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one...
Persistent link: https://www.econbiz.de/10005548374
This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the panel. Nonstationarity volatility arises for instance when there are structural breaks in...
Persistent link: https://www.econbiz.de/10005787059
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for Purchasing Power Parity (PPP). We show that if appropriate tests (which are robust to cross-sectional dependence)...
Persistent link: https://www.econbiz.de/10008502946