Meta-analytic cointegrating rank tests for dependent panels

Deniz Dilan Karaman Örsal; Antonia Arsova

doi:10.1016/j.ecosta.2016.10.001

Meta-analytic cointegrating rank tests for dependent panels

Deniz Dilan Karaman Örsal
, Antonia Arsova

Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › Begutachtung

6 Zitate (Scopus)

Abstract

Two new panel cointegrating rank tests which are robust to cross-sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

Originalsprache	Englisch
Zeitschrift	Econometrics and Statistics
Jahrgang	2
Seiten (von - bis)	61-72
Seitenumfang	12
ISSN	2452-3062
DOIs	https://doi.org/10.1016/j.ecosta.2016.10.001
Publikationsstatus	Erschienen - 01.04.2017

Fachgebiete und Schlagwörter

Volkswirtschaftslehre

ASJC Scopus Sachgebiete

Statistik, Wahrscheinlichkeit und Ungewissheit
Volkswirtschaftslehre und Ökonometrie
Statistik und Wahrscheinlichkeit

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10.1016/j.ecosta.2016.10.001Lizenz: CC BY-NC-ND

DownloadEndgültige, publizierte Fassung, 1,33 MBLizenz: CC BY-NC-ND

Likelihood - Basierte Panelkointegrationsmethodik und Ihre Anwendung in Makroökonomik und Finanzmaktanalyse (Likelihood II)
Karaman Örsal, D. (Wissenschaftliche Projektleiter*in)
Deutsche Forschungsgemeinschaft
01.02.15 → 31.07.18
Projekt: Forschung

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title = "Meta-analytic cointegrating rank tests for dependent panels",

abstract = "Two new panel cointegrating rank tests which are robust to cross-sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.",

keywords = "Economics, Panel cointegration, p-value, Common factors, Rank test, Cross-sectional dependence",

author = "\{Karaman {\"O}rsal\}, \{Deniz Dilan\} and Antonia Arsova",

year = "2017",

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doi = "10.1016/j.ecosta.2016.10.001",

language = "English",

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T1 - Meta-analytic cointegrating rank tests for dependent panels

AU - Karaman Örsal, Deniz Dilan

AU - Arsova, Antonia

PY - 2017/4/1

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N2 - Two new panel cointegrating rank tests which are robust to cross-sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

AB - Two new panel cointegrating rank tests which are robust to cross-sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

KW - Economics

KW - Panel cointegration

KW - p-value

KW - Common factors

KW - Rank test

KW - Cross-sectional dependence

UR - https://www.scopus.com/pages/publications/85030610503

U2 - 10.1016/j.ecosta.2016.10.001

DO - 10.1016/j.ecosta.2016.10.001

M3 - Journal articles

SN - 2452-3062

VL - 2

SP - 61

EP - 72

JO - Econometrics and Statistics

JF - Econometrics and Statistics

ER -

Meta-analytic cointegrating rank tests for dependent panels

Abstract

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Projekte

Likelihood - Basierte Panelkointegrationsmethodik und Ihre Anwendung in Makroökonomik und Finanzmaktanalyse (Likelihood II)

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