Meta-analytic cointegrating rank tests for dependent panels

Deniz Dilan Karaman Örsal; Antonia Arsova

Meta-analytic cointegrating rank tests for dependent panels

Publikation: Arbeits- oder Diskussionspapiere und Berichte › Arbeits- oder Diskussionspapiere

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 test shave reasonable size and power properties infinite samples.
The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

Originalsprache	Englisch
Erscheinungsort	Lüneburg
Verlag	Institut für Volkswirtschaftslehre der Universität Lüneburg
Seitenumfang	16
Publikationsstatus	Erschienen - 11.2015

Fachgebiete und Schlagwörter

Volkswirtschaftslehre
Empirische Wirtschaftsforschung/Statistik

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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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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 test shave reasonable size and power properties infinite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries. ",

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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 test shave reasonable size and power properties infinite 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

KW - Economics, empirical/statistics

M3 - Working papers

T3 - University of Lüneburg Working Paper Series in Economics

BT - Meta-analytic cointegrating rank tests for dependent panels

PB - Institut für Volkswirtschaftslehre der Universität Lüneburg

CY - Lüneburg

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)

Dieses zitieren