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Energy Consumption and GDP Causality : New Evidence from Disaggregated Data and Panel Long-Run Causality Tests of Developed and Developing Countries

Liddle, Brant; Lung, Sidney - 2015

This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...

Persistent link: https://www.econbiz.de/10014159365

Panel Data Unit Root Tests with an Application

Konya, Laszlo - 2001

Using several different unit root/stationarity tests on single time series Konya (2000) found the logarithm of real GDP of most OECD countries behaving as a random walk during the last four decades. This outcome, however, might be due to the generally low power of these tests. The aim of this...

Persistent link: https://www.econbiz.de/10014132219

Criterion-Based Inference for GMM in Autoregressive Panel Data Models

Windmeijer, Frank; Bond, Stephen R.; Bowsher, Clive G. - 2001

In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based on the continuously-updated GMM criterion (Hansen,...

Persistent link: https://www.econbiz.de/10014133628

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa; Chiang, Min-Hsien - 1997

In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...

Persistent link: https://www.econbiz.de/10014149909

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J. G.; Windmeijer, Frank - 2007

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

Persistent link: https://www.econbiz.de/10014051957

GMM for Panel Count Data Models

Windmeijer, Frank - 2006

This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are...

Persistent link: https://www.econbiz.de/10014055358

On the Robustness of Robustness Checks of the Environmental Kuznets Curve

Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro - 2013

Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject to continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions,...

Persistent link: https://www.econbiz.de/10014059743

Unit Roots : Identification and Testing in Micro Panels

Bond, Stephen R.; Nauges, Céline; Windmeijer, Frank - 2005

We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context....

Persistent link: https://www.econbiz.de/10014063807

Bootstrapping the Hausman Test in Panel Data Models

Bole, Velimir Anton; Rebec, Peter - 2012

increase with the number of explanatory variables. Heteroskedasticity or serial correlation in the idiosyncratic part of the … error does not hamper advantages of the bootstrapped version of HT, if a heteroskedasticity robust version of the HT and … wild bootstrap are used. But, the power penalty is not negligible if a heteroskedasticity robust approach is used in the …

Persistent link: https://www.econbiz.de/10014068220

Getting PPP Right : Identifying Mean-Reverting Real Exchange Rates in Panels

Chortareas, Georgios E.; Kapetanios, George - 2005

Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...

Persistent link: https://www.econbiz.de/10014070521