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

Research output: Journal contributions › Journal articles › Research › peer-review

6 Citations (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.

Original language	English
Journal	Econometrics and Statistics
Volume	2
Pages (from-to)	61-72
Number of pages	12
ISSN	2452-3062
DOIs	https://doi.org/10.1016/j.ecosta.2016.10.001
Publication status	Published - 01.04.2017

Research areas and keywords

Economics
Panel cointegration
p-value
Common factors
Rank test
Cross-sectional dependence

ASJC Scopus Subject Areas

Statistics, Probability and Uncertainty
Economics and Econometrics
Statistics and Probability

Access to Document

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

DownloadFinal published version, 1.33 MBLicence: CC BY-NC-ND

Likelihood-based panel cointegration methdology and its application in macroeconomics and financial market analysis
Karaman Örsal, D. (Project manager, academic)
German Research Foundation
01.02.15 → 31.07.18
Project: Research

Cite this

@article{8e9d6586bfcd42708692ff108578480c,

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",

month = apr,

day = "1",

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

language = "English",

volume = "2",

pages = "61--72",

journal = "Econometrics and Statistics",

issn = "2452-3062",

publisher = "Elsevier Bedrijfsinformatie bv",

}

TY - JOUR

T1 - Meta-analytic cointegrating rank tests for dependent panels

AU - Karaman Örsal, Deniz Dilan

AU - Arsova, Antonia

PY - 2017/4/1

Y1 - 2017/4/1

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

Research areas and keywords

ASJC Scopus Subject Areas

Access to Document

Fingerprint

Projects

Likelihood-based panel cointegration methdology and its application in macroeconomics and financial market analysis

Cite this