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Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results
Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005
Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We … find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …
Persistent link: https://www.econbiz.de/10005645128
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated 1967) estimator. It then demonstrates that the bootstrap outperforms Parks's top...
Persistent link: https://www.econbiz.de/10012018487
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020
This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator has been a workhorse for the analysis of panel...
Persistent link: https://www.econbiz.de/10012160012
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Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007
We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....
Persistent link: https://www.econbiz.de/10011372520
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Estimating Systematic Continuous-Time Trends in Recidivism Using a Non-Gaussian Panel Data Model
Koopman, Siem Jan; Lucas, Andre; Ooms, Marius; van … - 2007
We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....
Persistent link: https://www.econbiz.de/10014052278
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A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model
Mousa, Amani; Youssef, Ahmed H.; Abonazel, Mohamed R. - Volkswirtschaftliche Fakultät, … - 2011
A particularly useful approach for analyzing pooled cross sectional and time series data is Swamy's random coefficient panel data (RCPD) model. This paper examines the performance of Swamy's estimators and tests associated with this model by using Monte Carlo simulation. The Monte Carlo study...
Persistent link: https://www.econbiz.de/10011258202
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A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry
Lesage, James P.; Vance, Colin; Chih, Yao-Yu - 2016
We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to explore competition/cooperation by Berlin fueling stations in setting prices for diesel and E5 fuel. Unlike the maximum likelihood estimation method set forth by Aquaro, Bailey and...
Persistent link: https://www.econbiz.de/10011460317
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Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...
Persistent link: https://www.econbiz.de/10002577852
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A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances
Baltagi, Badi H.; Egger, Peter H.; Pfaffermayr, Michael - 2011
This paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include...
Persistent link: https://www.econbiz.de/10014183164
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Panel Cointegration Tests of the Fisher Hypothesis
Westerlund, Joakim - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005
Recent empirical studies suggest that the Fisher hypothesis, stating that inflation and nominal interest rates should cointegrate with a unit parameter on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be explained in part by...
Persistent link: https://www.econbiz.de/10005645089