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Author : Steph De Silva
Publisher :
ISBN 13 :
Total Pages : 366 pages
Book Rating : 4.:/5 (311 download)
Download or read book On the Specificity and Performance of Panel Unit Root Tests written by Steph De Silva and published by . This book was released on 2008 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Janice Boucher Breuer
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Series-Specific Unit Root Tests with Panel Data written by Janice Boucher Breuer and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root tests. This test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) tests for a unit root. In contrast to extant panel unit root tests, our test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller test.
Author : Jaroslava Hlouskova
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book The Performance of Panel Unit Root and Stationarity Tests written by Jaroslava Hlouskova and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Badi H. Baltagi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Panel Unit Root Tests and Spatial Dependence written by Badi H. Baltagi and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985-1998.
Author : Laszlo Konya
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Panel Data Unit Root Tests with an Application written by Laszlo Konya and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using several different unit root/stationarity tests on single time series Konya (2000) found the logarithm of real GDP of most OECD countries behaving as a random walk during the last four decades. This outcome, however, might be due to the generally low power of these tests. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit root tests. We apply the tests advocated by Levin and Lin (1993), Im, Pesaran and Shin (1997) and Maddala and Wu (1999). The joint unit root null hypothesis cannot be rejected for the whole panel, however, after having dropped the least likely stationary series from the panel, the Im, Pesaran and Shin (1997) and Maddala and Wu (1999) tests can reject the null for the remaining sub-panels. Since these tests are not valid under cross-correlated error terms, we repeat them with data specific bootstrap critical values taking contemporaneous cross-correlation into account. This way, both tests can reject the unit root null hypothesis even for the whole panel. Yet, they cannot suggest how many and which particular panel members are stationary, so these results are not really informative. For this reason finally we apply the unit root test of Breuer, McNown and Wallace (1999) with bootstrap critical values. This procedure makes use of the panel data setting and seemingly unrelated regressions, but performs separate unit-root tests on each panel member. The results are markedly different from the conventional univariate Dickey-Fuller test results, and they support trend stationarity in the case of four countries: Australia, Japan, the Netherlands and Switzerland.
Author : L. Gutierrez
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Panel Unit-Root Tests for Cross-Sectionally Correlated Panels written by L. Gutierrez and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper deals with the finite-sample performance of a set of unit-root tests for cross-correlated panels. Most of the available macroeconomic time series cover short time periods. The lack of information, in terms of time observations, implies that univariate tests are not powerful enough to reject the null of a unit-root while panel tests, by exploiting the large number of cross-sectional units, have been shown to be a promising way of increasing the power of unit-root tests. We investigate the finite sample properties of recently proposed panel unit-root tests for cross-sectionally correlated panels. Specifically, the size and power of Choi's [Econometric Theory and Practice: Frontiers of Analysis and Applied Research: Essays in Honor of Peter C. B. Phillips, Cambridge University Press, Cambridge (2001)], Bai and Ng's [Econometrica (2004), Vol. 72, p. 1127], Moon and Perron's [Journal of Econometrics (2004), Vol. 122, p. 81], and Phillips and Sul's [Econometrics Journal (2003), Vol. 6, p. 217] tests are analysed by a Monte Carlo simulation study. In synthesis, Moon and Perron's tests show good size and power for different values of T and N, and model specifications. Focusing on Bai and Ng's procedure, the simulation study highlights that the pooled Dickey-Fuller generalized least squares test provides higher power than the pooled augmented Dickey-Fuller test for the analysis of non-stationary properties of the idiosyncratic components. Choi's tests are strongly oversized when the common factor influences the cross-sectional units heterogeneously.
Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : George S. Ford
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Misleading Inferences from Panel Unit-Root Tests written by George S. Ford and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In their 2001 paper, Breuer, McNown, and Wallace argue that panel unit root tests are flawed in that the “all or nothing nature of these procedures may lead to serious misinterpretations of tests applied to mixed panels” (2001, p. 483). The authors propose an alternative test, the SURADF test, which allows for and estimates heterogeneous rates of convergence.We show that SURADF test results are highly sensitive to the selection of panel members. As such, application of the SURADF test seems to require a sound basis for panel member selection and a caveat that all results are panel-specific.
Author : Kristian Jönsson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book Time-Specific Disturbances in a Panel Data Stationarity Test written by Kristian Jönsson and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this paper, we investigate the performance of a panel data stationarity test when cross-sectional correlation is modelled by a time-specific factor. Size distortions, that occurs especially when the number of cross sections is small, are documented. To eliminate these distortions, a new set of critical values is supplied. When investigating the rejection frequency under the alternative hypothesis, it is found that the panel data stationarity test that uses the supplied critical values maintain good power characteristics even when only a subset of the cross-sectional units have a unit root
Author : Hyungsik Roger Moon
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing for a Unit Root in Panels with Dynamic Factors written by Hyungsik Roger Moon and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives. We also show that these tests have no power against the same local alternatives when it is necessary to remove deterministic components. Through Monte Carlo simulations, we provide evidence on the finite sample properties of these new tests.
Author : Janice Boucher Breuer
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (246 download)
Download or read book Series-specific Tests for a Unit Root in a Panel Setting with an Application to Real Exchange Rates written by Janice Boucher Breuer and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yves Croissant
Publisher : John Wiley & Sons
ISBN 13 : 1118949188
Total Pages : 328 pages
Book Rating : 4.1/5 (189 download)
Download or read book Panel Data Econometrics with R written by Yves Croissant and published by John Wiley & Sons. This book was released on 2018-08-10 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Author : Badi H. Baltagi
Publisher : Elsevier
ISBN 13 : 0762306882
Total Pages : 351 pages
Book Rating : 4.7/5 (623 download)
Download or read book Nonstationary Panels, Panel Cointegration, and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Author : Angeliki Menegaki
Publisher : Academic Press
ISBN 13 : 0128127473
Total Pages : 416 pages
Book Rating : 4.1/5 (281 download)
Download or read book The Economics and Econometrics of the Energy-Growth Nexus written by Angeliki Menegaki and published by Academic Press. This book was released on 2018-03-29 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Economics and Econometrics of the Energy-Growth Nexus recognizes that research in the energy-growth nexus field is heterogeneous and controversial. To make studies in the field as comparable as possible, chapters cover aggregate energy and disaggregate energy consumption and single country and multiple country analysis. As a foundational resource that helps researchers answer fundamental questions about their energy-growth projects, it combines theory and practice to classify and summarize the literature and explain the econometrics of the energy-growth nexus. The book provides order and guidance, enabling researchers to feel confident that they are adhering to widely accepted assumptions and procedures. Provides guidance about selecting and implementing econometric tools and interpreting empirical findings Equips researchers to get clearer pictures of the most robust relationships between variables Covers up-to-date empirical and econometric methods Combines theory and practice to classify and summarize the literature and explain the econometrics of the energy-growth nexus
Author : National Academies of Sciences, Engineering, and Medicine
Publisher : National Academies Press
ISBN 13 : 0309452961
Total Pages : 583 pages
Book Rating : 4.3/5 (94 download)
Download or read book Communities in Action written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2017-04-27 with total page 583 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the United States, some populations suffer from far greater disparities in health than others. Those disparities are caused not only by fundamental differences in health status across segments of the population, but also because of inequities in factors that impact health status, so-called determinants of health. Only part of an individual's health status depends on his or her behavior and choice; community-wide problems like poverty, unemployment, poor education, inadequate housing, poor public transportation, interpersonal violence, and decaying neighborhoods also contribute to health inequities, as well as the historic and ongoing interplay of structures, policies, and norms that shape lives. When these factors are not optimal in a community, it does not mean they are intractable: such inequities can be mitigated by social policies that can shape health in powerful ways. Communities in Action: Pathways to Health Equity seeks to delineate the causes of and the solutions to health inequities in the United States. This report focuses on what communities can do to promote health equity, what actions are needed by the many and varied stakeholders that are part of communities or support them, as well as the root causes and structural barriers that need to be overcome.
Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128158603
Total Pages : 1011 pages
Book Rating : 4.1/5 (281 download)
Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-20 with total page 1011 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Empirical Applications introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Author : Lászlo Mátyás
Publisher : Springer Science & Business Media
ISBN 13 : 3540758925
Total Pages : 966 pages
Book Rating : 4.5/5 (47 download)
Download or read book The Econometrics of Panel Data written by Lászlo Mátyás and published by Springer Science & Business Media. This book was released on 2008-04-06 with total page 966 pages. Available in PDF, EPUB and Kindle. Book excerpt: This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
