Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Error analysis (Mathematics)
Languages : en
Pages : 54

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Author: Chingnun Lee
Publisher:
ISBN:
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.

Author: Cheng Hsiao
Publisher: Cambridge University Press
ISBN: 1107038693
Category : Business & Economics
Languages : en
Pages : 563

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Book Description
This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.

Author: Junsoo Lee
Publisher:
ISBN:
Category : Autocorrelation (Statistics)
Languages : en
Pages : 304

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Book Description

Author: Lászlo Mátyás
Publisher: Springer Science & Business Media
ISBN: 3540758925
Category : Business & Economics
Languages : en
Pages : 966

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Book Description
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.

Author: Marno Verbeek
Publisher: John Wiley & Sons
ISBN: 1119401151
Category : Business & Economics
Languages : en
Pages : 523

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Book Description
A Guide to Modern Econometrics, 5th Edition has become established as a highly successful textbook. It serves as a guide to alternative techniques in econometrics with an emphasis on intuition and the practical implementation of these approaches. This fifth edition builds upon the success of its predecessors. The text has been carefully checked and updated, taking into account recent developments and insights. It includes new material on causal inference, the use and limitation of p-values, instrumental variables estimation and its implementation, regression discontinuity design, standardized coefficients, and the presentation of estimation results.

Author: Hyungsik Roger Moon
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
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: Ercan Uygur
Publisher: Türkiye Ekonomi Kurumu
ISBN: 9758958216
Category : Business & Economics
Languages : en
Pages : 2118

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Book Description

Author: E. Ayşen Hiç Gencer
Publisher: Cambridge Scholars Publishing
ISBN: 1443848824
Category : Business & Economics
Languages : en
Pages : 488

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Book Description
This book explores the economic environment in Eurasian countries, particularly investigating the transition economies in Asia, Central Asia and the former Soviet socialist bloc countries. It analyses the region from the perspective of globalisation and economic integration, economic growth and development, international trade and finance, and the energy and natural resources sectors. The second book in a series based on selected papers from the International Conference on Eurasian Economies, it will appeal to anyone who is interested in economies of the region, their transition processes towards a market economy regime, and their integration into the global world.

Author: Y. Huang
Publisher: Springer
ISBN: 0230302491
Category : Business & Economics
Languages : en
Pages : 233

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Book Description
A PDF version of this book is available for free in open access via the OAPEN Library platform, www.oapen.org. This book examines the emergence of both financial markets and carbon markets, and provides an in-depth investigation on the fundamental determinants of financial development.