[PDF] Top 20 Testing for unit roots and cointegration in heterogeneous panels
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Testing for unit roots and cointegration in heterogeneous panels
... The results from the standard time-series tests were similar to those results for the full sample, where the unit root tests and the residual-based tests provided supporting evidence for[r] ... See full document
282
Testing for unit roots in three dimensional heterogeneous panels in the presence of cross sectional dependence
... Recently, Pesaran (2006) suggested modifying the IPS test by including auxiliary terms into equation (1) In particular, he augments equation (1) with the cross section averages of lagged level and lagged …rst-di¤erences ... See full document
10
Testing for seasonal unit roots in heterogeneous panels
... In this paper, we look at using the approach of IPS to investigate the performance of the HEGY test in dynamic heterogeneous panels. Based on Monte Carlo simulations we find that the standardised averaged ... See full document
13
Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence
... of unit roots in panels that exhibit cross-sectional dependency, Maddala and Wu (1999) and more recently Chang (2004) have considered bootstrapping unit root tests which, in the context of the ... See full document
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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
... of unit roots in panels that exhibit cross-sectional dependency, Maddala and Wu (1999) and more recently Chang (2004) have considered bootstrapping unit root tests which, in the context of the ... See full document
8
Testing for Unit Roots in Seasonal Time Series with Long Period.
... Hylleberg, Engle, Granger, and Yoo (1990, henceforth “HEGY”) extended the unit roots test to the seasonal frequencies. They studied quarterly data and devel- oped a general test which takes care of all the ... See full document
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A Perspective on Unit Root and Cointegration in Applied Macroeconomics
... Pre-testing the data aims at assessing the nature of the trend; this then determines how to model the data. Trend can be deterministic or stochastic. These are two different DGP, and have different economic and ... See full document
19
Micro versus macro cointegration in heterogeneous panels
... (macro cointegration) and under the alternative (lack of macro ...macro cointegration be true or not) T -consistent, which ex- plains why under the alternative the test does not su¤er from the slow rate of ... See full document
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Testing Fractional Unit Roots with Non linear Smooth Break Approximations using Fourier functions
... The first thing we observe in Table 1 is that the size of the test is clearly biased in small samples. Thus, for example, if T = 100 and d = 0, if we direct the test against d > 0, the size of the test is 0.014; ... See full document
33
Testing for Exogeneity in Cointegrated Panels
... panel cointegration models like (1) routinely employ estimation techniques that are designed to be robust to the presence of endogeneity, ...of testing for PPP (see ...average roots that are close to ... See full document
27
Testing for breaks in cointegrated panels
... level. Cointegration stability tests are thus natural candidates for panel extensions hopefully able to grant power gains large enough to make them empirically ... See full document
27
Inference on factor structures in heterogeneous panels
... of testing for poolability with observable regressors, by Westerlund and Hess (2011), whose simulations show that the power properties are very promising, although issues may arise in presence of ties (Hall and ... See full document
70
Testing for cointegration in dependent panels via residual based bootstrap methods
... the cointegration RSB tests with the two di¤erent block sizes deliver essentially the same ...the unit root RSB tests in PPP and good news from the practitioner’s point of ... See full document
20
Testing for exogeneity in cointegrated panels
... panel cointegration models like (1) routinely employ estimation techniques that are designed to be robust to the presence of endogeneity, ...of testing for PPP (see ...average roots that are close to ... See full document
26
Common stochastic trends and aggregation in heterogeneous panels
... nonstationary heterogeneous panels where each unit cointegrates, the ag- gregate relationship does not cointegrate unless the coe¢ cients describing micro relationships satisfy a set of ...aggregate ... See full document
19
Unit Roots in White Noise
... Our analysis builds on two results in particular. First, and for the econo- metric side, Saikkonen and Lütkepohl (1996) have analyzed the asymptotic properties of VAR estimates, when both the sample size T and the order ... See full document
23
Can Gold Investments Provide a Good Hedge Against Inflation? An Empirical Analysis
... 6.3. Cointegration Test and Vector ECM (VECM) Based on π rank test developed by Johansen (1988), the results of testing for the number of cointegrating vectors are reported in Table 4, which derives two ... See full document
6
Linkages among the non genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange
... on testing for market efficiency (Chowdhury, 1991) or finding spatial linkages of futures markets of different regions and locations (Xu and Fung, ...the cointegration among the prices of corn, azuki beans, ... See full document
22
Fiscal policy sustainability in Nigeria: ARDL bounds testing technique
... (PP) unit root tests to determine the existence of unit root in the ...test cointegration test is performed and the result is compared with Pesaran et ... See full document
7
Dynamic Inter relationships among tourism, economic growth and energy consumption in India
... In order to achieve the objective of this study, we employ the bounds testing approach to cointegration proposed by Pesaran et al. (2001) to analyse the existence of a long-run relationship between economic ... See full document
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