Showing 81 - 90 of 126
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...
Persistent link: https://www.econbiz.de/10005675541
This article considers a single-equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the local asymptotic power functions and compare them with the standard residual-based test, and show that the LBIU...
Persistent link: https://www.econbiz.de/10005676607
Persistent link: https://www.econbiz.de/10005610341
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...
Persistent link: https://www.econbiz.de/10005748661
In this paper, we propose a new approach to test the hypothesis of long-run Granger non-causality in cointegrated systems. We circumvent the problem of singularity of the variance-covariance matrix associated with the usual Wald type test by proposing a generalized inverse procedure, and an...
Persistent link: https://www.econbiz.de/10005783917
This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of mul- tiple structural changes. We develop a modified Akaike's information criterion (AIC), a modified Mallows' Cp criterion and a...
Persistent link: https://www.econbiz.de/10008553056
In this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is...
Persistent link: https://www.econbiz.de/10008519562
This paper proposes a test for the null hypothesis of periodic stationarity against the alternative hypothesis of periodic integration. We derive the limiting distribution of the test statistic and its characteristic function, which are the same as those of the test developed in Kwiatkowski,...
Persistent link: https://www.econbiz.de/10005157461
In this article, we propose a new approach to test the hypothesis of long-run Granger non-causality in cointegrated systems. We circumvent the problem of singularity of the covariance matrix associated with the usual Wald-type test by proposing a generalized inverse procedure. A test for the...
Persistent link: https://www.econbiz.de/10005161521
This paper proposes an inference procedure for a possibly integrated vector autoregression (VAR) model. We modify the lag augmented VAR (LA-VAR) estimator to exclude the quasiasymptotic bias, which is associated with the term Op(T-1), using the jackknife method. The new estimator has an...
Persistent link: https://www.econbiz.de/10005292293