Testing For Exogeneity In Cointegrated Panels

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Testing for Exogeneity in Cointegrated Panels

Author : Lorenzo Trapani
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Testing for Exogeneity in Cointegrated Panels by : Lorenzo Trapani

Download or read book Testing for Exogeneity in Cointegrated Panels written by Lorenzo Trapani and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T-consistent, whereas it is -consistent when there is no endogeneity. Other estimators can be employed, such as the FM-OLS, that are -consistent irrespective of whether exogeneity is present or not. Using the difference between the former and the latter estimator, we construct a test statistic which diverges at a rate under the null of endogeneity, whilst it is bounded under the alternative of exogeneity, and employ a randomization approach to carry out the test. Monte Carlo evidence shows that the test has the correct size and good power.

Testing Weak Exogeneity in Cointegrated Panels

Author : Enrique Moral-Benito
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Testing Weak Exogeneity in Cointegrated Panels by : Enrique Moral-Benito

Download or read book Testing Weak Exogeneity in Cointegrated Panels written by Enrique Moral-Benito and published by . This book was released on 2017 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity.The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation.

Testing Weak Exogeneity in Cointegrated Panels

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (19 download)

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Book Synopsis Testing Weak Exogeneity in Cointegrated Panels by :

Download or read book Testing Weak Exogeneity in Cointegrated Panels written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing Exogeneity

Author : Neil R. Ericsson
Publisher :
ISBN 13 : 9780198774044
Total Pages : 436 pages
Book Rating : 4.7/5 (74 download)

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Book Synopsis Testing Exogeneity by : Neil R. Ericsson

Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Nonstationary Panels, Panel Cointegration, and Dynamic Panels

Author : Badi H. Baltagi
Publisher : Elsevier
ISBN 13 : 0762306882
Total Pages : 351 pages
Book Rating : 4.7/5 (623 download)

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Book Synopsis Nonstationary Panels, Panel Cointegration, and Dynamic Panels by : Badi H. Baltagi

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.

Testing for Panel Cointegration with Multiple Structural Breaks

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)

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Book Synopsis Testing for Panel Cointegration with Multiple Structural Breaks by :

Download or read book Testing for Panel Cointegration with Multiple Structural Breaks written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Panel Data Econometrics

Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128144319
Total Pages : 432 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Panel Data Econometrics by : Mike Tsionas

Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-19 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Theory 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

Testing the Exogeneity Assumption in Panel Data Models with "non Classical" Disturbances

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Author : Raymond John O'Brien
Publisher :
ISBN 13 :
Total Pages : 67 pages
Book Rating : 4.:/5 (249 download)

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Book Synopsis Testing the Exogeneity Assumption in Panel Data Models with "non Classical" Disturbances by : Raymond John O'Brien

Download or read book Testing the Exogeneity Assumption in Panel Data Models with "non Classical" Disturbances written by Raymond John O'Brien and published by . This book was released on 2003 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exogeneity, Cointegration, and Economic Policy Analysis

Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Exogeneity, Cointegration, and Economic Policy Analysis by : Neil R. Ericsson

Download or read book Exogeneity, Cointegration, and Economic Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1998 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Data Dependent Endogeneity Correction in Cointegrated Panels

Author : Joakim Westerlund
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Data Dependent Endogeneity Correction in Cointegrated Panels by : Joakim Westerlund

Download or read book Data Dependent Endogeneity Correction in Cointegrated Panels written by Joakim Westerlund and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the small-sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that there are differences of practical importance. In particular, the evidence suggests that, although the estimators of the cointegration vectors generally perform well, the criterion with best small-sample performance also leads to the best performing estimator.

Cointegration, Causality, and Forecasting

Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)

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Book Synopsis Cointegration, Causality, and Forecasting by : Halbert White

Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data

Author : Søren Johansen
Publisher :
ISBN 13 : 9789514558146
Total Pages : 30 pages
Book Rating : 4.5/5 (581 download)

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Book Synopsis Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data by : Søren Johansen

Download or read book Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data written by Søren Johansen and published by . This book was released on 1991 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR Models

Author : Ralf Brüggemann
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (764 download)

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Book Synopsis On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR Models by : Ralf Brüggemann

Download or read book On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR Models written by Ralf Brüggemann and published by . This book was released on 2002 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Advances in Panel Data Analysis in Applied Economic Research

Author : Nicholas Tsounis
Publisher : Springer
ISBN 13 : 3319700553
Total Pages : 701 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Advances in Panel Data Analysis in Applied Economic Research by : Nicholas Tsounis

Download or read book Advances in Panel Data Analysis in Applied Economic Research written by Nicholas Tsounis and published by Springer. This book was released on 2018-04-17 with total page 701 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume presents new methods and applications in applied economic research with an emphasis on advances in panel data analysis. Featuring papers presented at the 2017 International Conference on Applied Economics (ICOAE) held at Coventry University, this volume provides current research on econometric panel data methodologies as they are applied in microeconomics, macroeconomics, financial economics and agricultural economics. International Conference on Applied Economics (ICOAE) is an annual conference that started in 2008 designed to bring together economists from different fields of applied economic research in order to share methods and ideas. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics to analyse economic problems of the real world usually with economic policy interest. In addition, there is growing interest in the field for panel data estimation methods, tests and techniques. This volume makes a contribution in the field of applied economic research in this area. Featuring country specific studies, this book will be of interest to academics, students, researchers, practitioners, and policy makers in applied economics and economic policy.

Time Series and Panel Data Econometrics

Author : M. Hashem Pesaran
Publisher : Oxford University Press
ISBN 13 : 0191058475
Total Pages : 1443 pages
Book Rating : 4.1/5 (91 download)

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Book Synopsis Time Series and Panel Data Econometrics by : M. Hashem Pesaran

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015-10-01 with total page 1443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

The Cointegrated VAR Model

Author : Katarina Juselius
Publisher : OUP Oxford
ISBN 13 : 0191622966
Total Pages : 478 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis The Cointegrated VAR Model by : Katarina Juselius

Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Panel Data Econometrics with R

Author : Yves Croissant
Publisher : John Wiley & Sons
ISBN 13 : 1118949188
Total Pages : 328 pages
Book Rating : 4.1/5 (189 download)

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Book Synopsis Panel Data Econometrics with R by : Yves Croissant

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.