Arbeitspapier
Meta-analytic cointegrating rank tests for dependent panels
This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series in Economics ; No. 349
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Thema
-
panel cointegration
p-value
common factors
rank test
crosssectional dependence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Karaman Örsal, Deniz Dilan
Arsova, Antonia
- Ereignis
-
Veröffentlichung
- (wer)
-
Leuphana Universität Lüneburg, Institut für Volkswirtschaftslehre
- (wo)
-
Lüneburg
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Karaman Örsal, Deniz Dilan
- Arsova, Antonia
- Leuphana Universität Lüneburg, Institut für Volkswirtschaftslehre
Entstanden
- 2015
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