Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives PDF full book. Access full book title Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives by I. Gaia Becheri. Download full books in PDF and EPUB format.
Author: I. Gaia Becheri
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
Get Book Here
Book Description
In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007) presents an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests. In case of homogeneous alternatives this envelope is known to be sharp, but this paper shows that it is not attainable for heterogeneous alternatives. Using limit experiment theory we derive a sharp power envelope. We also demonstrate that, among others, one of the likelihood ratio based tests in Moon, Perron, and Phillips (2007), a pooled GLS based-test using the Breitung and Meyer (1994) device, and a new test based on the asymptotic structure of the model, are all asymptotically UMP. Thus, perhaps somewhat surprisingly, pooled regression-based tests may yield optimal tests in case of heterogeneous alternatives. Although finite-sample powers are comparable, the new test is easy to implement and has superior size properties.
Author: I. Gaia Becheri
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
Get Book Here
Book Description
In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007) presents an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests. In case of homogeneous alternatives this envelope is known to be sharp, but this paper shows that it is not attainable for heterogeneous alternatives. Using limit experiment theory we derive a sharp power envelope. We also demonstrate that, among others, one of the likelihood ratio based tests in Moon, Perron, and Phillips (2007), a pooled GLS based-test using the Breitung and Meyer (1994) device, and a new test based on the asymptotic structure of the model, are all asymptotically UMP. Thus, perhaps somewhat surprisingly, pooled regression-based tests may yield optimal tests in case of heterogeneous alternatives. Although finite-sample powers are comparable, the new test is easy to implement and has superior size properties.
Author: I. Gaia Becheri
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
Get Book Here
Book Description
Author: Matei Demetrescu
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: I. Gaia Becheri
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
This paper considers panels with cross-sectional dependence generated by dynamic common factors as introduced by Bai and Ng (2004, 2010) and known as the PANIC framework. Using limit experiment theory, we derive the (asymptotic) power envelope for testing for unit roots in the PANIC framework. We obtain the local asymptotic power functions of two of the most popular "second generation" panel unit root tests: those proposed in Moon and Perron (2004) and Bai and Ng (2004, 2010). We show that: i) these tests are asymptotically equivalent, and ii) only attain the power envelope in case the long-run variances of the idiosyncratic components in the PANIC framework are homogeneous. Moreover, we propose a new test that is asymptotically UMP, i.e. whose power function attains the envelope irrespective of possible heterogeneity in the long-run variances. A Monte Carlo study demonstrates that our asymptotic results provide excellent approximations to finite-sample distributions.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Get Book Here
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Kenneth Train
Publisher: Cambridge University Press
ISBN: 0521766559
Category : Business & Economics
Languages : en
Pages : 399
Get Book Here
Book Description
This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Author: William H. Greene
Publisher: Cambridge University Press
ISBN: 1139485954
Category : Business & Economics
Languages : en
Pages : 383
Get Book Here
Book Description
It is increasingly common for analysts to seek out the opinions of individuals and organizations using attitudinal scales such as degree of satisfaction or importance attached to an issue. Examples include levels of obesity, seriousness of a health condition, attitudes towards service levels, opinions on products, voting intentions, and the degree of clarity of contracts. Ordered choice models provide a relevant methodology for capturing the sources of influence that explain the choice made amongst a set of ordered alternatives. The methods have evolved to a level of sophistication that can allow for heterogeneity in the threshold parameters, in the explanatory variables (through random parameters), and in the decomposition of the residual variance. This book brings together contributions in ordered choice modeling from a number of disciplines, synthesizing developments over the last fifty years, and suggests useful extensions to account for the wide range of sources of influence on choice.
Author: Pierre Perron
Publisher:
ISBN: 9783038428121
Category :
Languages : en
Pages :
Get Book Here
Book Description
Unit Roots and Structural Breaks.
Author: Gary King
Publisher: Cambridge University Press
ISBN: 9780521542807
Category : Nature
Languages : en
Pages : 436
Get Book Here
Book Description
Drawing upon the recent explosion of research in the field, a diverse group of scholars surveys the latest strategies for solving ecological inference problems, the process of trying to infer individual behavior from aggregate data. The uncertainties and information lost in aggregation make ecological inference one of the most difficult areas of statistical inference, but these inferences are required in many academic fields, as well as by legislatures and the Courts in redistricting, marketing research by business, and policy analysis by governments. This wide-ranging collection of essays offers many fresh and important contributions to the study of ecological inference.
Author: Jose Alberto Fuinhas
Publisher: Academic Press
ISBN: 0128154446
Category : Business & Economics
Languages : en
Pages : 332
Get Book Here
Book Description
The Extended Energy-Growth Nexus: Theory and Empirical Applications advances the established bivariate econometric relationship which inextricably links energy consumption to economic growth. The book extends this "nexus" to accommodate variables such as globalization, institutional variables, financial variables and the energy "mix." Rooted firmly in the modern literature, it covers empirical applications such as the evaluation of renewable energy incentives, the electricity generation mix, and sustainable development. Each application area incorporates modern econometric methodologies, including VAR, panel VAR, ARDL, panel ARDL, Asymmetric panel ARDL, and Panel Quantile Regression. Throughout chapters are accompanied by illustrative Stata and EViews code, demonstrating their uses in applied research. Primes researchers to understand advanced literature and current methodologies within the energy-growth nexus Provides a rich set of working tools for econometricians working on real-world energy and growth problems Accompanied by representative databases and illustrative Stata and EViews code, facilitating replication and use
