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An intersection test for the cointegrating rank in dependent panel data

Research output: Working paper › Working papers

Standard

An intersection test for the cointegrating rank in dependent panel data. / Arsova, Antonia; Karaman Örsal, Deniz Dilan.
Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg, 2016. (Working Paper Series in Economics ; No. 357).

Research output: Working paper › Working papers

Harvard

Arsova, A & Karaman Örsal, DD 2016 'An intersection test for the cointegrating rank in dependent panel data' Working Paper Series in Economics , no. 357, Institut für Volkswirtschaftslehre der Universität Lüneburg, Lüneburg.

APA

Arsova, A., & Karaman Örsal, D. D. (2016). An intersection test for the cointegrating rank in dependent panel data. (Working Paper Series in Economics ; No. 357). Institut für Volkswirtschaftslehre der Universität Lüneburg.

Vancouver

Arsova A, Karaman Örsal DD. An intersection test for the cointegrating rank in dependent panel data. Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg. 2016 Mar. (Working Paper Series in Economics ; 357).

Bibtex

@techreport{0ac27122bfc64ecbb9d3766a8d67da58,
title = "An intersection test for the cointegrating rank in dependent panel data",
abstract = "This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes{\textquoteright} (1986) intersection test and requires only the p-values of suitable individual test statistics. A Monte Carlo study demonstrates that this simple test is robust to cross-sectional dependence and has reasonable size and power properties. A multivariate version of Kendall{\textquoteright}s tau is used to test an important assumption underlying Simes{\textquoteright} procedure for dependent statistics. The method is illustrated by testing the validity of the monetary exchange rate model for 8 OECD countries in the post-Bretton Woods era.",
keywords = "Economics, panel cointegration rank test, cross-sectional dependence, multiple testing, common factors, likelihood-ratio",
author = "Antonia Arsova and {Karaman {\"O}rsal}, {Deniz Dilan}",
year = "2016",
month = mar,
language = "English",
series = "Working Paper Series in Economics ",
publisher = "Institut f{\"u}r Volkswirtschaftslehre der Universit{\"a}t L{\"u}neburg",
number = "357",
type = "WorkingPaper",
institution = "Institut f{\"u}r Volkswirtschaftslehre der Universit{\"a}t L{\"u}neburg",

}

RIS

TY - UNPB

T1 - An intersection test for the cointegrating rank in dependent panel data

AU - Arsova, Antonia

AU - Karaman Örsal, Deniz Dilan

PY - 2016/3

Y1 - 2016/3

N2 - This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the p-values of suitable individual test statistics. A Monte Carlo study demonstrates that this simple test is robust to cross-sectional dependence and has reasonable size and power properties. A multivariate version of Kendall’s tau is used to test an important assumption underlying Simes’ procedure for dependent statistics. The method is illustrated by testing the validity of the monetary exchange rate model for 8 OECD countries in the post-Bretton Woods era.

AB - This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the p-values of suitable individual test statistics. A Monte Carlo study demonstrates that this simple test is robust to cross-sectional dependence and has reasonable size and power properties. A multivariate version of Kendall’s tau is used to test an important assumption underlying Simes’ procedure for dependent statistics. The method is illustrated by testing the validity of the monetary exchange rate model for 8 OECD countries in the post-Bretton Woods era.

KW - Economics

KW - panel cointegration rank test

KW - cross-sectional dependence

KW - multiple testing

KW - common factors

KW - likelihood-ratio

M3 - Working papers

T3 - Working Paper Series in Economics

BT - An intersection test for the cointegrating rank in dependent panel data

PB - Institut für Volkswirtschaftslehre der Universität Lüneburg

CY - Lüneburg

ER -

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Research output: Contributions to collected editions/works › Contributions to collected editions/anthologies › Research

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

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