We propose two new simple residual-based panel data tests for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific...

This paper proposes four new tests for the null hypothesis of no cointegration in panel data that are based on the error correction parameter in a conditional error correction model. The limit distribution of the test statistics are derived and critical values are provided. Our Monte Carlo...

In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The tests are the likelihood ratio test proposed by Johansen (1991) and the test for stationarity proposed by Kwiatkowski et al (1992). The analysis of the likelihood ratio test is...

In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible estimators considered enjoys excellent precision in terms...

This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters...

This paper shows that the bootstrap algorithm for average technical efficiency by Atkinson and Wilson (1995) should be applied with great care for the Data Envelopment Analysis (DEA) estimator if the production frontier is stochastic. A stochastic frontier implies that the DEA estimator is...

This paper presents a Monte Carlo simulation study of the bootstrap algorithm proposed by Löthgren and Tambour (1997) for calculation of bootstrap confidence intervals for the firm-specific Data Envelopment Analysis (DEA) Malmquist productivity index. The simulation results indicate that the...

This paper evaluates the performance of three bootstrap algorithms for the data envelopment analysis (DEA) estimator using a Monte Carlo simulation study. The Löthgren and Tambour (1997) (LT) algorithm; the Simar and Wilson (1997b) (SW) algorithm; and a combination of the LT and SW algorithms...

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to the European ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and...