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On the Panel Unit Root Tests Using Nonlinear Instrumental Variables

Im, Kyung So; Pesaran, M. Hashem - 2004

This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of the t-statistics when integrable functions of lagged dependent variable are used as instruments even if the original series are cross sectionally dependent. From this rather...

Persistent link: https://www.econbiz.de/10014074026

Testing Integration of Macroeconomic Time Series in Transitional Socialist Economies : A Modification of Perron Test

Rybinski, Krzysztof - 1998

The presence of structural breaks reduces the power of integration tests. A number of methods were suggested to improve the statistical properties of integration tests in the presence of structural breaks. The most known are Perron tests, which allow to test for the level of integration of time...

Persistent link: https://www.econbiz.de/10014074890

A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

Pesaran, M. Hashem - 2004

A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably by Bai and Ng (2002), Moon and Perron (2003), and Phillips and Sul (2002) who use orthogonalization type procedures to asymptotically eliminate the cross dependence of the...

Persistent link: https://www.econbiz.de/10014075011

Essays on Vietnam's Financial Reforms : Foreign Exchange Statistics and Evidence of Long-Run Equilibrium

Vuong, Quan Hoang - 2003

In this paper, we examine exchange rates in Vietnam's transitional economy. Evidence of long-run equilibrium are established in most cases through a single co-integrating vector among endogenous variables that determine the real exchange rates. This supports relative PPP in which ECT of the...

Persistent link: https://www.econbiz.de/10014075421

Improved Testing and Specification of Smooth Transition Regression Models

Escribano, Álvaro; Jorda, Oscar - 1998

This paper extends previous work in Escribano and Jorda (1997) and introduces new LM specification procedures to choose between Logistic and Exponential Smooth Transition Regression (STR) Models. These procedures are simpler, consistent and more powerful than those previously available in the...

Persistent link: https://www.econbiz.de/10014075643

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test

Swanson, Norman R.; Corradi, Valentina - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

Persistent link: https://www.econbiz.de/10014075928

Bootstrap Specification Tests for Diffusion Processes

Swanson, Norman R.; Corradi, Valentina - 2003

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed … whether the drift and variance components of a particular continuous time model are correctly specified. However, we compare … tests, we use an empirical process version of the block bootstrap which properly accounts for the contribution of PEE. An …

Persistent link: https://www.econbiz.de/10014075929

Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification

Swanson, Norman R.; Corradi, Valentina - 2003

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional … to date because we construct a bootstrap statistic that allows for dynamic misspecification under both hypotheses. We … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …

Persistent link: https://www.econbiz.de/10014075931

Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data

Swanson, Norman R.; Corradi, Valentina - 2003

in the theory of the bootstrap, Kolmogorov type testing, and other work on the evaluation of DSGEs, aimed at comparing … tabulated. In order to address this issue, we show the validity of two versions of the block bootstrap in our context. Two …

Persistent link: https://www.econbiz.de/10014075932

Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models

Kapetanios, George; Shin, Yongcheol - 2005

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...

Persistent link: https://www.econbiz.de/10014076075