Results 101 to 110 of about 52,481 (289)
Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley +1 more source
Fully Modified GLS Estimation for Seemingly Unrelated Cointegrating Polynomial Regressions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A new feasible generalized least squares estimator is proposed. Our estimator incorporates (1) the inverse autocovariance matrix of multidimensional errors, and (2) second‐order bias corrections. The resulting estimator has the intuitive interpretation of applying a weighted least squares objective function to filtered data series.
Yicong Lin, Hanno Reuvers
wiley +1 more source
3-Step Analysis of Public Finances Sustainability: the Case of the European Union [PDF]
We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the meanreverting behaviour of general government expenditure and revenue ratios.
António Afonso, Christophe Rault
core
On Robustness to Random Breaks in Panel Data
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT One of the attractions of panel data is the ability to pool information regarding parameters that are common across the cross‐section. In fact, pooling is standard even though there are often reasons to believe that parameters are not common. One reason for this practice is that there is quite some evidence to suggest that estimators of common
Yousef Kaddoura, Joakim Westerlund
wiley +1 more source
Cointegration in Panel Data with Breaks and Cross-Section Dependence [PDF]
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data.
Anindya Banerjee +1 more
core +3 more sources
An International Comparison of Health Care Expenditure Determinants [PDF]
In this paper, we estimate a health care demand function for 18 OECD countries for the period 1972-1995. We consider a demand side approach where health expenditure depend on per capita GDP and the relative price of health care.
Catherine Bac, Yannick le Pen
core
Combination of Tests for Cointegration in Cross‐Correlated Panels [PDF]
, 2018 Verena Werkmann
openalex +1 more source
Permanent Revenue in an Energy‐Exporting Economy: A New Test for Fiscal Equilibrium
Review of Development Economics, EarlyView.ABSTRACT Fiscal disequilibrium arises when permanent expenditures (PEXP) exceed permanent revenue (PREV), a frequent risk in energy‐exporting economies reliant on volatile windfall revenues. However, existing research lacks a clear measure of these concepts and an empirical test for fiscal equilibrium.
Akeem Rahaman, Scott Mark Romeo Mahadeo
wiley +1 more source