Meta-analytic cointegrating rank tests for dependent panels

Deniz Dilan Karaman Örsal; Antonia Arsova

Meta-analytic cointegrating rank tests for dependent panels

Research output: Working paper › Working papers

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.

Original language	English
Place of Publication	Lüneburg
Publisher	Institut für Volkswirtschaftslehre der Universität Lüneburg
Number of pages	16
Publication status	Published - 11.2015

Research areas and keywords

Economics
Panel cointegration
p-value
Common factors
Rank test
Cross-sectional dependence
Economics, empirical/statistics

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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

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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 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. ",

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

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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

Research areas and keywords

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Projects

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

Cite this