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Truncated Product Methods For Panel Unit Root Tests
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Book Synopsis Truncated Product Methods for Panel Unit Root Tests by : Xuguang Simon Sheng
Download or read book Truncated Product Methods for Panel Unit Root Tests written by Xuguang Simon Sheng and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes two new panel unit root tests based on Zaykin et al. (2002)'s truncated product method. The first one assumes constant correlation between P-values and the second one uses sieve bootstrap to allow for general forms of cross-section dependence in the panel units. Monte Carlo simulation shows that both tests have reasonably good size and are powerful in cases of some very large P-values. The proposed tests are applied to a panel of real GDP and inflation density forecasts, resulting in evidence that professional forecasters may not update their forecast precision in an optimal Bayesian way.
Book Synopsis A Simple Panel Unit Root Test by Combining Dependent P-Values by : Xuguang Simon Sheng
Download or read book A Simple Panel Unit Root Test by Combining Dependent P-Values written by Xuguang Simon Sheng and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a simple panel unit root test based on Zaykin et al.'s (2002) truncated product method. The test is powerful in cases where there are only a few large p-values, and is robust to a certain degree of cross-section dependence. Monte Carlo evidence shows good size and power properties relative to existing p-value combination tests. Unlike the previous tests, the new test allows to make stronger claims in the event of rejection of the null hypothesis. The proposed test is applied to a panel of 27 OECD real exchange rate series as well as to a group of inflation density forecasts in the SPF data.
Book Synopsis Almost All About Unit Roots by : In Choi
Download or read book Almost All About Unit Roots written by In Choi and published by Cambridge University Press. This book was released on 2015-05-12 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Book Synopsis Econometric Analysis of Panel Data by : Badi H. Baltagi
Download or read book Econometric Analysis of Panel Data written by Badi H. Baltagi and published by Springer Nature. This book was released on 2021-03-16 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.
Book Synopsis Unit Roots, Cointegration, and Structural Change by : G. S. Maddala
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.
Book Synopsis On the Specificity and Performance of Panel Unit Root Tests by : Steph De Silva
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:
Book Synopsis Unit Root Tests in Panel Data by : Andrew Levin
Download or read book Unit Root Tests in Panel Data written by Andrew Levin and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for a Unit Root in Panels with Dynamic Factors by : Hyungsik Roger Moon
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.
Book Synopsis On the Power and Interpretation of Panel Unit Root Tests by : Lars Sune Karlsson
Download or read book On the Power and Interpretation of Panel Unit Root Tests written by Lars Sune Karlsson and published by . This book was released on 1999 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Testing in Panel and Time Series Models by : Florian Siedenburg
Download or read book Unit Root Testing in Panel and Time Series Models written by Florian Siedenburg and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Econometrics of Panel Data by : Lászlo Mátyás
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.
Book Synopsis Beyond Panel Unit Root Tests by : Hyungsik Roger Moon
Download or read book Beyond Panel Unit Root Tests written by Hyungsik Roger Moon and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonstationary-volatility Robust Panel Unit Root Tests and the Great Moderation by : Christoph Hanck
Download or read book Nonstationary-volatility Robust Panel Unit Root Tests and the Great Moderation written by Christoph Hanck and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Encyclopedia of Research Design by : Neil J. Salkind
Download or read book Encyclopedia of Research Design written by Neil J. Salkind and published by SAGE. This book was released on 2010-06-22 with total page 1779 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Comprising more than 500 entries, the Encyclopedia of Research Design explains how to make decisions about research design, undertake research projects in an ethical manner, interpret and draw valid inferences from data, and evaluate experiment design strategies and results. Two additional features carry this encyclopedia far above other works in the field: bibliographic entries devoted to significant articles in the history of research design and reviews of contemporary tools, such as software and statistical procedures, used to analyze results. It covers the spectrum of research design strategies, from material presented in introductory classes to topics necessary in graduate research; it addresses cross- and multidisciplinary research needs, with many examples drawn from the social and behavioral sciences, neurosciences, and biomedical and life sciences; it provides summaries of advantages and disadvantages of often-used strategies; and it uses hundreds of sample tables, figures, and equations based on real-life cases."--Publisher's description.
Book Synopsis Econometrics in Theory and Practice by : Panchanan Das
Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
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.
Book Synopsis Purchasing Power Parity and Real Exchange Rates by : Mark P. Taylor
Download or read book Purchasing Power Parity and Real Exchange Rates written by Mark P. Taylor and published by Routledge. This book was released on 2013-09-13 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
