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DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Hanck, Christoph | - |
dc.date.accessioned | 2006-12-15T11:28:18Z | - |
dc.date.available | 2006-12-15T11:28:18Z | - |
dc.date.issued | 2006-12-15T11:28:18Z | - |
dc.identifier.uri | http://hdl.handle.net/2003/23129 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-859 | - |
dc.description.abstract | We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in combining p-values from time series cointegration tests on the different units of the panel. The tests are robust to heterogeneity as well as to cross-sectional dependence between the different units of the panel. To achieve the latter, we employ a sieve bootstrap procedure with joint resampling of the residuals of the different units. A simulation study shows that the suggested bootstrap tests can have substantially smaller error-in-rejection probabilities than tests ignoring the presence of cross-sectional dependence while preserving high power. We apply the tests to a panel of Post-Bretton Woods data to test for weak Purchasing Power Parity (PPP). | en |
dc.format.extent | 258360 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.subject | Cross-sectional dependence | en |
dc.subject | Panel cointegration tests | en |
dc.subject | Purchasing Power Parity (PPP) | en |
dc.subject | Sieve bootstrap | en |
dc.subject.ddc | 004 | - |
dc.title | Cross-sectional correlation robust tests for panel cointegration | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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tr44-06.pdf | DNB | 252.3 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt.
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