Results 251 to 260 of about 52,481 (289)

Cointegration Testing in Panels with Common Factors*

Oxford Bulletin of Economics and Statistics, 2006
AbstractPanel unit‐root and no‐cointegration tests that rely on cross‐sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat [Econometrics Journal (2004), Vol. 7, pp. 322–340; Empirical Economics (2005), Vol. 30, pp. 77–91] via Monte
Gengenbach, C., Palm, F.C., Urbain, J.R.Y.J.   +2 more
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Likelihood‐based cointegration tests in heterogeneous panels

The Econometrics Journal, 2001
Summary: This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established.
Larsson, Rolf, Lyhagen, Johan, Löthgren, Mickael   +2 more
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Do Panel Cointegration Tests Produce "Mixed Signals"?

Annals of Economics and Statistics, 2012
It was recently shown that time series cointegration tests, even in the presence of large sample sizes, often yield conicting conclusions (\mixed signals") as measured by, inter alia, a low correlation of empirical p-values. We present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests.
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Genetic structure, consanguineous marriages and economic development: Panel cointegration and panel cointegration neural network analyses

Expert Systems with Applications, 2011
Consanguineous marriages and their effects on human beings in light of biological effects of genetic sicknesses are discussed in many studies. Among many, the likelihood of sicknesses such as phenylketonuria, thalassemia, Landsteiner-Fanconi-Anderson's syndrome, hemophilia and many neuro system anomalies increase drastically in countries with ...
Bildirici, Melike, Ersin, Ozgur Omer, Kokdener, Meltem   +2 more
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Savings-investment cointegration in panel data

Applied Economics Letters, 1999
Existing cointegration tests for the savings-investment model are limited because of low testing power. In this paper the savings-investment correlation is re-examined using a panel cointegration test by which the power seems to be improved greatly.
KEUN-YEOB OH, BONG-HAN KIM, HONG-KEE KIM, BYUNG-CHUL AHN   +3 more
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Fully modified OLS for heterogeneous cointegrated panels [PDF]

, 2004
This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies.
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Panel cointegration and productivity bias hypothesis

Journal of Economic Studies, 2004
Productivity bias hypothesis claims that deviation of the PPP based exchange rate from the equilibrium rate is mainly due to productivity differentials among countries. Early studies that employed cross‐sectional data in testing the hypothesis provided mixed results. A few time‐series studies have provided some support for the hypothesis.
Mohsen Bahmani‐Oskooee, Ilir Miteza
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Panel Cointegration Analysis of Audit Pricing Model

Review of Quantitative Finance and Accounting, 2005
This paper addresses two issues that arise from testing and estimating cointegration in accounting research. The first issue is the failure to use more powerful cointegration tests by earlier researchers. This has led to the problem of low test power in the cointegration procedures employed in the earlier accounting literature.
Win Lin Chou, Dominica Suk-yee Lee
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Testing for breaks in cointegrated panels [PDF]

, 2006
Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap.
Di Iorio, Francesca, Fachin, Stefano
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New Simple Tests for Panel Cointegration

Econometric Reviews, 2005
In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual ...
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