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Panel Unit Root Tests (second generation) for eqs. (7a)-(7b) involving the relative

Second Generation Panel Unit Root Tests

Second Generation Panel Unit Root Tests

... generation tests performs much better, but do not provide the validity of using bootstrap ...bootstrap unit root test has been proposed by Chang ...each panel is driven by a heterogeneous ...

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Panel Unit Root Tests and the Specification of Cross-sectional Dependence

Panel Unit Root Tests and the Specification of Cross-sectional Dependence

... for unit root in panel data has been a much debated ...such tests was initially based upon the assumption of cross-sectional independence between the units and it produced the so called ”first ...

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Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

... for unit roots in panels where both cross section (N ) and time (T ) dimensions are relatively ...generation panel unit root tests pioneered by Levin, Lin and Chu (2002) and Im, Pesaran ...

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The effects of variance breaks on homogenous panel unit root tests

The effects of variance breaks on homogenous panel unit root tests

... root tests asymptotically depend on nuisance parameters in the presence of per- manent variance ...of panel unit root ...intersection tests for heterogenous panels which are ...

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What would Nelson and Plosser find had they used panel unit root tests?

What would Nelson and Plosser find had they used panel unit root tests?

... of panel methods for testing for unit roots in some ...use panel methods for testing for PPP? In this perspective, our paper aims to evaluate the advantages and drawbacks of panel unit ...

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What would Nelson and Plosser find had they used panel unit root tests?

What would Nelson and Plosser find had they used panel unit root tests?

... of panel unit root tests for macroeconomic and …nancial ...used panel unit root tests 2 ? For that, we systemically apply panel unit root ...

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Breaking trend panel unit root tests

Breaking trend panel unit root tests

... the panel tests are ...calculating panel statistics using distributions of individual statistics simulated with corresponding fixed lag order as in ...method, panel statistics are calculated ...

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Panel-CADF Testing with R: Panel Unit Root Tests Made Easy

Panel-CADF Testing with R: Panel Unit Root Tests Made Easy

... a panel covariate augmented Dickey-Fuller test (that they label pCADF) and also present a method to compute the asymptotic p ...the panel; as an alternative, the difference of the first principal component ...

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Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

... augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error ...other panel unit root tests based on principal components that require in ...

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On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

... the panel unit root tests proposed by Chang ...(NIV) panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as T (the ...

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Taking a New Contour: A Novel Approach to Panel Unit Root Tests

Taking a New Contour: A Novel Approach to Panel Unit Root Tests

... the relative efficiency of the OLS estimator over the Cauchy estimator is not large enough to pay off the cost of adjusting the sample for the OLS t-ratios to be on the new ...two tests vanishes as both N ...

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Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

... for panel unit roots that is, unlike previ- ously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the ...The panel test is based ...

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Nonstationary Volatility Robust Panel Unit Root Tests and the Great Moderation

Nonstationary Volatility Robust Panel Unit Root Tests and the Great Moderation

... for panel unit roots that is, unlike previ- ously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the ...The panel test is based ...

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Unit Root Tests with Wavelets

Unit Root Tests with Wavelets

... wavelet tests for S b T,1 LM and S b T,1 Ld with serially correlated ...Ld tests to ensure that the empirical sizes are close to their nominal ones across these ranges of serially correlated ...power ...

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Twin deficits in CEEC economies: evidence from panel unit root tests

Twin deficits in CEEC economies: evidence from panel unit root tests

... the unit root tests may be affected by the wrong choice of either the deterministic component (the d mt in ...the unit root null ...the unit root hypothesis, and are ...

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Purchasing power parity in ASEAN+3: an application of panel unit root tests

Purchasing power parity in ASEAN+3: an application of panel unit root tests

... the panel that covers selected 10 countries of the Association of Southeast Asian Nations (ASEAN), with China, Japan and South ...of panel unit root tests is used on new data series in ...

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Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests

Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests

... as relative deviations from an economy-wide average rate of profit in order to correct for common business cycle ...1310 panel members. The unit root test is then performed as a stepwise ...

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Fisher hypothesis: East Asian evidence from panel unit root tests

Fisher hypothesis: East Asian evidence from panel unit root tests

... Abstract This study finds evidence supportive of Fisher hypothesis in East Asian economies using panel unit root tests, which allow for cross-country variations in the estimation. Among ...

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Generalized �Fixed T Panel Unit Root Tests Allowing for Structural Breaks

Generalized �Fixed T Panel Unit Root Tests Allowing for Structural Breaks

... the tests is calculated as the minimum of a …xed number of correlated ...the tests considerably facilitates calculation of critical values for the implementation of the tests in ...the tests ...

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Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity 1

Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity 1

... for unit roots in panels with general dependency and het- erogeneity across cross-sectional ...available tests can be used to test for unit roots in such general ...the unit root ...

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