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Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

Persistent link: https://www.econbiz.de/10013325198

A Panel Granger-Causality Test of Endogenous vs. Exogenous Growth

Hartwig, Jochen - 2009

The paper proposes a new test of endogenous vs. exogenous growth theories based on the Granger-causality methodology and applies it to a panel of 20 OECD countries. The test yields divergent evidence with respect to physical and human capital. For physical capital, the test results favor...

Persistent link: https://www.econbiz.de/10013157894

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

Persistent link: https://www.econbiz.de/10003931103

LM-type tests for idiosyncratic and common unit roots in the exact factor model with AR(1) dynamics

Solberger, Martin; Zhou, Xingwu - 2013

Persistent link: https://www.econbiz.de/10010199464

A lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification

Zhou, Xingwu; Solberger, Martin - 2013

Persistent link: https://www.econbiz.de/10010199465

Nonstationary-volatility robust panel unit root tests and the great moderation

Hanck, Christoph; Czudaj, Robert - 2013

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when there are structural breaks in the innovation...

Persistent link: https://www.econbiz.de/10009779045

A generalized spatial panel data model with random effects

Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2012

This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...

Persistent link: https://www.econbiz.de/10009621736

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit … both global heteroskedasticity and cross-unit dependence, we start by adapting the nonlinear instruments method proposed … of the test statistic as long as the t-type statistics are computed with White heteroskedasticity-consistent standard …

Persistent link: https://www.econbiz.de/10009672473

Nonparametric rank tests for non-stationary panels

Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...

Persistent link: https://www.econbiz.de/10009686205