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Testing the hysteresis effect in the US state-level unemployment series

Omay, Tolga; Ozcan, Burcu; Shahbaz, Muhammed - In: Journal of applied economics 23 (2020) 1, pp. 329-348

structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a … sequential panel selection method. While not previously considered, sequential panel selection enabled us to determine and …

Persistent link: https://www.econbiz.de/10012257115

Structural breaks, cointegration and demand for money in Nigeria

Doguwa, Sani I.; Olowofeso, Olorunsola E.; Uyaebo, … - In: CBN journal of applied statistics 5 (2014) 1, pp. 15-33

This paper estimates the money demand function in Nigeria in the aftermath of the recent global financial crisis and examines whether its underlying properties has changed over the years. Specifically, the existence of a stable long-run demand for money function during the period...

Persistent link: https://www.econbiz.de/10011489463

Structural breaks in interactive effects panels and the stock market reaction to COVID-19

Karavias, Yiannis; Narayan, Paresh Kumar; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 653-666

Persistent link: https://www.econbiz.de/10014448426

Backward CUSUM for testing and monitoring structural change

Otto, Sven; Breitung, Jörg - 2020

It is well known that the conventional CUSUM test suffers from low power and large detection delay. We therefore propose two alternative detector statistics. The backward CUSUM detector sequentially cumulates the recursive residuals in reverse chronological order, whereas the stacked backward...

Persistent link: https://www.econbiz.de/10012421897

Inference after estimation of breaks

Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2020

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...

Persistent link: https://www.econbiz.de/10012241853

Inference after estimation of breaks

Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2019

Persistent link: https://www.econbiz.de/10012109832

Asymptotics for Panel Models with Common Shocks - Extended Version

Kao, Chihwa - 2010

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous … correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error … terms. Several characteristics of the panel are considered: cross-sectional and time-series dimensions can either be fixed …

Persistent link: https://www.econbiz.de/10013136583

Inference with Correlated Clusters

Powell, David - 2017

function of a distance metric. With panel data, these restrictions are unnecessary. This paper relies on a test statistic using …

Persistent link: https://www.econbiz.de/10012969069

Bridging factor and sparse models

Fan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C. - 2021

. The method is based on a exible model for panel data, called factor-augmented regression model with both observable … a partial covariance network of the financial returns and a prediction exercise for a large panel of macroeconomic time …

Persistent link: https://www.econbiz.de/10012435974

Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity

Wang, Hanchao - 2020

This paper studies estimation of covariance matrices with conditional sparse structure. We overcome the challenge of estimating dense matrices using a factor structure, the challenge of estimating large-dimensional matrices by postulating sparsity on the covariance of the random noises, and the...

Persistent link: https://www.econbiz.de/10012844599