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Languages : en
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Author: P. C. B. Phillips
Publisher: Cambridge University Press
ISBN: 9780521807234
Category : Business & Economics
Languages : en
Pages : 390
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Book Description
The essays in this book explore important theoretical and applied advances in econometrics.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Mark P. Taylor
Publisher: Routledge
ISBN: 1317988205
Category : Business & Economics
Languages : en
Pages : 227
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Book Description
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.
Author: Steph De Silva
Publisher:
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Category : Econometrics
Languages : en
Pages : 366
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Author: Janice Boucher Breuer
Publisher:
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Category :
Languages : en
Pages : 0
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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: Andrew Levin
Publisher:
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Category :
Languages : en
Pages :
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Author: Christoph Schleicher
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 70
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Author: Hyungsik Roger Moon
Publisher:
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Category :
Languages : en
Pages : 0
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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: Chingnun Lee
Publisher:
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Category :
Languages : en
Pages : 62
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Book Description
This paper proposes a new simple panel unit-root test by extending the cross-sectionally augmented panel unit-root test (CIPS) developed by Pesaran et al. (2013) to allow for smoothing structural changes in deterministic terms, approximated by a Fourier series. The proposed statistic is the simple average of the individual statistics constructed from the breaks and cross-sectional dependence augmented Dickey-Fuller (BCADF) regression and is called the BCIPS statistic. We initially develop the tests by assuming that the number of factors in the model is known and show that the limiting distribution of the BCADF statistic is free of nuisance parameters. The nonstandard limiting distribution of the (truncated) BCIPS statistic is also shown to exist and its critical values are tabulated. Monte-Carlo experiments point out that the sizes and powers of the BCIPS statistic are generally satisfactory as long as T is greater than or equal to fifty and a hundred, respectively. By using two different methods to determine the number of factors, both the BCIPS and CIPS tests are applied to examine the validity of long-run purchasing power parity. The proposed test complements the panel unit-root tests with breaks using dummy variables.
