Testing Weak Exogeneity In Cointegrated Panels

Download Testing Weak Exogeneity In Cointegrated Panels full books in PDF, epub, and Kindle. Read online Testing Weak Exogeneity In Cointegrated Panels ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Testing Weak Exogeneity in Cointegrated Panels

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

DOWNLOAD NOW!

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)

DOWNLOAD NOW!

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 for Exogeneity in Cointegrated Panels

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

DOWNLOAD NOW!

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 for Purchasing Power Parity in Cointegrated Panels

Author : Mikael Carlsson
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (318 download)

DOWNLOAD NOW!

Book Synopsis Testing for Purchasing Power Parity in Cointegrated Panels by : Mikael Carlsson

Download or read book Testing for Purchasing Power Parity in Cointegrated Panels written by Mikael Carlsson and published by International Monetary Fund. This book was released on 2007 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Our overall results are the same across all approaches: The strong PPP hypothesis is rejected in favour of weak PPP with heterogenenous cointegrating vectors.

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)

DOWNLOAD NOW!

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 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)

DOWNLOAD NOW!

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:

Panel Data Econometrics

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

DOWNLOAD NOW!

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

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)

DOWNLOAD NOW!

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.

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)

DOWNLOAD NOW!

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:

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)

DOWNLOAD NOW!

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 Econometric Analysis of Non-Stationary Spatial Panel Data

Author : Michael Beenstock
Publisher : Springer
ISBN 13 : 3030036146
Total Pages : 280 pages
Book Rating : 4.0/5 (3 download)

DOWNLOAD NOW!

Book Synopsis The Econometric Analysis of Non-Stationary Spatial Panel Data by : Michael Beenstock

Download or read book The Econometric Analysis of Non-Stationary Spatial Panel Data written by Michael Beenstock and published by Springer. This book was released on 2019-03-27 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.

Testing Weak Exogeneity in the Exponential Family

Author : Juan Jose Dolado
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Testing Weak Exogeneity in the Exponential Family by : Juan Jose Dolado

Download or read book Testing Weak Exogeneity in the Exponential Family written by Juan Jose Dolado and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: A common practice in empirical work is to estimate the conditional mean of a variable y on another variable x, ignoring its marginal density. Weak exogeneity of x for the parameters of interest in the conditional mean ensures valid inference. Available weak exogeneity tests correspond to a Gaussian-linear environment. However, there are some variables, typically related to financial marked-point processes, where non-Gaussian distributions and nonlinear means are much more appropriate assumptions. We propose two tests for weak exogeneity when the density is not necessarily Gaussian but belongs to the the family of exponential densities, and the conditional and marginal means are nonlinear. Both tests exploit dependencies (lack of free variation), under the alternative hypotesis, among parameters in both means. To illustrate this testing procedure, we analyze the relationship between trade size and trade durations for four stocks traded at NYSE. The null hypothesis of weak exogeneity is often rejected, questioning therefore some results in the literature which rely on separate estimation of each density.

Handbook of Monetary and Fiscal Policy

Author : Alan A. Rabin
Publisher : CRC Press
ISBN 13 : 9780824707811
Total Pages : 1848 pages
Book Rating : 4.7/5 (78 download)

DOWNLOAD NOW!

Book Synopsis Handbook of Monetary and Fiscal Policy by : Alan A. Rabin

Download or read book Handbook of Monetary and Fiscal Policy written by Alan A. Rabin and published by CRC Press. This book was released on 2001-12-19 with total page 1848 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the politics of economic policy, focusing on forecasting, inflation, interest rates, market expectations, financial crises, disruptions in global markets, and tax policy, as well as state and local government budgeting, financial management, and policy initiatives for development and growth.

Testing Weak Exogeneity in the Exponential Family

Author : Juan J. Dolado
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (253 download)

DOWNLOAD NOW!

Book Synopsis Testing Weak Exogeneity in the Exponential Family by : Juan J. Dolado

Download or read book Testing Weak Exogeneity in the Exponential Family written by Juan J. Dolado and published by . This book was released on 2004 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Cointegrated VAR Model

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

DOWNLOAD NOW!

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.

Testing for Panel Cointegration with Multiple Structural Breaks

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

DOWNLOAD NOW!

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:

Handbook of Monetary Policy

Author : Jack Rabin
Publisher : CRC Press
ISBN 13 : 0585425515
Total Pages : 1009 pages
Book Rating : 4.5/5 (854 download)

DOWNLOAD NOW!

Book Synopsis Handbook of Monetary Policy by : Jack Rabin

Download or read book Handbook of Monetary Policy written by Jack Rabin and published by CRC Press. This book was released on 2020-04-30 with total page 1009 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook explains the development and implementation of monetary policy. It examines theories and issues related to the preservation of economic activity and explores why the preservation of economic stability is a principal goal of public policy.