Simulating Small-sample Properties of the Maximum Likelihood Cointegration Method PDF Download
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Author: Tor Jacobson
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Author: Tor Jacobson
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Author: Rolf Larsson
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this, the asymptotic distribution of the test statistic is shown to be normal. The small-sample size and power properties are investigated using Monte Carlo simulations. An empirical example for a consumption model including consumption, income and inflation is estimated for 23 OECD countries over the period 1960-1994. The results indicate that two cointegrating relations exist in the system: one containing consumption and income and one inflation only.
Author: Uppsala universitet. Statistiska institutionen
Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 28
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Author: Phoebus James Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Author: Kirstin Hubrich
Publisher: Physica
ISBN:
Category : Business & Economics
Languages : en
Pages : 194
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With the decision of the European Central Bank to assign a prominent role to a monetary aggregate in its policy strategy, it is essential to further understand the policy of monetary targeting of the German Bundesbank and the conditions under which it succeeded. The focus of the empirical analysis is on long-run monetary relationships. A small sample simulation analysis compares the size and power properties of a broad range of systems cointegration tests. The results determine the methods chosen for the cointegration analysis of a small system of macroeconomic variables for Germany. Three stable long-run economic relationships are found which are of major interest for the conduct and transmission of monetary policy in Germany. With the stability of the long-run money demand relation one precondition for the monetary targeting strategy of the Bundesbank is fulfilled. The analysis accounts for the structural break of German reunification and examines the robustness of the empirical results.
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 760
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Author: Anthony Garratt
Publisher: Oxford University Press (UK)
ISBN: 0199650462
Category : Business & Economics
Languages : en
Pages : 402
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Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.
Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author: Badi H. Baltagi
Publisher: Springer Nature
ISBN: 3030539539
Category : Business & Economics
Languages : en
Pages : 436
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Book Description
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.
Author:
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ISBN:
Category :
Languages : en
Pages :
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The Stockholm School of Economics presents an abstract for the paper entitled "Size and Power of the Likelihood Ratio Test for Seasonal Cointegration in Small Samples: A Monte Carlo Study," by Marten Lof. The article discusses the small sample size and power properties of the likelihood ratio test in the seasonal error correction model.
