Meta-analytic cointegrating rank tests for dependent panels

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Meta-analytic cointegrating rank tests for dependent panels. / Karaman Örsal, Deniz Dilan; Arsova, Antonia.
in: Econometrics and Statistics, Jahrgang 2, 01.04.2017, S. 61-72.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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Bibtex

@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 B.V.",

}

RIS

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 - http://www.scopus.com/inward/record.url?scp=85030610503&partnerID=8YFLogxK

U2 - 10.1016/j.ecosta.2016.10.001

DO - 10.1016/j.ecosta.2016.10.001

M3 - Journal articles

VL - 2

SP - 61

EP - 72

JO - Econometrics and Statistics

JF - Econometrics and Statistics

SN - 2452-3062

ER -

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