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This paper considers a linear panel data model with reduced rank regressors and interactive fixed effects. The leading example is a factor model where some of the factors are observed, some others not. Invariance considerations yield a maximal invariant statistic whose density does not depend on...
Persistent link: https://www.econbiz.de/10010604016
This paper addresses the question of whether a conventional approach to cointegration is applicaple to the case where changes are allowed in the parameters for the short term dynamics. We reparametrise a vector autoregressive model such that the short-run parameters exhibiting changes at known...
Persistent link: https://www.econbiz.de/10010604907
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In this paper we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime and vice versa. Both known and unknown break...
Persistent link: https://www.econbiz.de/10011255309
This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...
Persistent link: https://www.econbiz.de/10011277263
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This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...
Persistent link: https://www.econbiz.de/10009767261
Persistent link: https://www.econbiz.de/10010191001