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- Westerlund, Joakim, et al.
(författare)
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New tools for understanding the local asymptotic power of panel unit root tests
- 2015
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Ingår i: Journal of Econometrics. - : Elsevier BV. - 0304-4076 .- 1872-6895. ; 188:1, s. 59-93
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Tidskriftsartikel (refereegranskat)abstract
- Motivated by the previously documented discrepancy between actual and predicted power, the present paper provides new tools for analyzing the local asymptotic power of panel unit root tests. These tools are appropriate in general when considering panel data with a dominant autoregressive root of the form rho(i)= 1 + ciN(-k)T(-tau), where i = 1,..., N indexes the cross-sectional units, T is the number of time periods and ci is a random local-to-unity parameter. A limit theory for the sample moments of such panel data is developed and is shown to involve infinite-order series expansions in the moments of ch in which existing theories can be seen as mere first-order approximations. The new theory is applied to study the asymptotic local power functions of some known test statistics for a unit root. These functions can be expressed in terms of the expansions in the moments of ci, and include existing local power functions as special cases. Monte Carlo evidence is provided to suggest that the new results go a long way toward bridging the gap between actual and predicted power.
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- Basher, Syed A., et al.
(författare)
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Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models
- 2008
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1466-4291 .- 1350-4851. ; 15:3, s. 161-164
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Tidskriftsartikel (refereegranskat)abstract
- Time series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997) find that inflation is stationary. In this article, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for cross-sectional dependence and structural change.
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- Basher, Syed A., et al.
(författare)
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Panel cointegration and the monetary exchange rate model
- 2009
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Ingår i: Economic Modelling. - : Elsevier BV. - 0264-9993. ; 26:2, s. 506-513
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Tidskriftsartikel (refereegranskat)abstract
- This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. (C) 2008 Elsevier B.V. All rights reserved.
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- Blomquist, Johan, et al.
(författare)
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A Non-Stationary Panel Data Investigation of the Unemployment–Crime Relationship
- 2014
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Ingår i: Social Science Research. - : Elsevier BV. - 0049-089X. ; 44, s. 114-125
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Tidskriftsartikel (refereegranskat)abstract
- Many empirical studies of the economics of crime focus solely on the determinants thereof, and do not consider the dynamic and cross-sectional properties of their data. As a response to this, the current paper offers an in-depth analysis of this issue using data covering 21 Swedish counties from 1975 to 2010. The results suggest that the crimes considered are non-stationary, and that this cannot be attributed to county-specific disparities alone, but that there are also a small number of common stochastic trends to which groups of counties tend to revert. In an attempt to explain these common stochastic trends, we look for a long-run cointegrated relationship between unemployment and crime. Overall, the results do not support cointegration, and suggest that previous findings of a significant unemployment–crime relationship might be spurious.
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- Blomquist, Johan, et al.
(författare)
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Panel bootstrap tests of slope homogeneity
- 2016
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Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 50:4, s. 1359-1381
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Tidskriftsartikel (refereegranskat)abstract
- This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.
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| 8. |
- Blomquist, Johan, et al.
(författare)
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Testing slope homogeneity in large panels with serial correlation
- 2013
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Ingår i: Economics Letters. - : Elsevier BV. - 0165-1765. ; 121:3, s. 374-378
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Tidskriftsartikel (refereegranskat)abstract
- Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50–93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically relevant case of heteroskedastic and/serially correlated errors. The present note proposes a generalized test that accommodates both features.
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- Brown, Nicholas, et al.
(författare)
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Testing Factors in CCE
- 2023
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Ingår i: Economics Letters. - 0165-1765. ; 230
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Tidskriftsartikel (refereegranskat)abstract
- One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables to estimate the unobserved factors. The present paper proposes a simple test statistic that is suitable for testing hypotheses about these factors. The statistic can be used to test if a subset of the averages is enough to estimate the factors, or if there are observable variables that capture them. The statistic can also be used sequentially to determine the smallest set of averages needed to estimate the factors.
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