Similar Search Results

Incidental Trends and the Power of Panel Unit Root Tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - 2013

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under …}, depending on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative …

Persistent link: https://www.econbiz.de/10014075867

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Choi, In; Chue, Timothy K. - 2005

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …

Persistent link: https://www.econbiz.de/10014027534

Asymptotically Uniformly Most Powerful Tests for Unit Roots in Gaussian Panels with Cross-Sectional Dependence Generated by Common Factors

Van den Akker, Ramon; Becheri, I. Gaia; Drost, Feike C.; … - 2023

This paper considers testing for unit roots in Gaussian panels with crosssectional dependence generated by common factors. Within our setup we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon & Perron (2004), who specify a factor model for the...

Persistent link: https://www.econbiz.de/10014357544

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 … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …

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

Re-examining inequality persistence

Ghoshray, Atanu; Monfort, Mercedes; Ordóñez, Javier - 2020

Although it is not a new phenomenon, in recent years inequality has moved to the top of the political agenda given the concern that will result in political instability and social resentment. Persistence in inequality can further undermine economic growth and development by hindering educational...

Persistent link: https://www.econbiz.de/10012150669

Re-examining inequality persistence

Ghoshray, Atanu; Monfort, Mercedes; Ordóñez, Javier - 2019

Persistent link: https://www.econbiz.de/10012132740

Getting PPP right : identifying mean-reverting real exchange rates in panels

Chortareas, Georgios E. (contributor); … - 2008

real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …

Persistent link: https://www.econbiz.de/10003740322

An intersection test for panel unit roots

Hanck, Christoph - 2008

This paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for … panel, and no resampling. Monte Carlo experiments show good size and power properties relative to existing panel unit root … tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative …

Persistent link: https://www.econbiz.de/10003835930

The effects of variance breaks on homogenous panel unit root tests

Herwartz, Helmut; Siedenburg, Florian - 2009

performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case …, panel unit root tests derived under time invariant innovation variances lose control over actual significance levels while … hypothesis. -- Panel unit root tests ; variance breaks ; cross sectional dependence ; Fisher hypothesis …

Persistent link: https://www.econbiz.de/10003887238

Are PPP tests erratically behaved? : some panel evidence

Caporale, Guglielmo Maria (contributor); … - 2006

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce … disappears, and strong empirical support is found for PPP. It appears therefore that recent advances in panel data econometrics …

Persistent link: https://www.econbiz.de/10003394591