1. //
  2. Start
  3. //
  4. Publications
  5. Likelihood-based panel cointegration tes...
  6. Output formats
  7. //

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

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

Standard

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. / Arsova, Antonia; Karaman Örsal, Deniz Dilan.
In: Econometric Reviews, Vol. 37, No. 10, 26.11.2018, p. 1033-1050.

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

Harvard

Arsova, A & Karaman Örsal, DD 2018, 'Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence', Econometric Reviews, vol. 37, no. 10, pp. 1033-1050. https://doi.org/10.1080/07474938.2016.1183070

APA

Arsova, A., & Karaman Örsal, D. D. (2018). Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. Econometric Reviews, 37(10), 1033-1050. https://doi.org/10.1080/07474938.2016.1183070

Vancouver

Arsova A, Karaman Örsal DD. Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. Econometric Reviews. 2018 Nov 26;37(10):1033-1050. Epub 2016 Jul 11. doi: 10.1080/07474938.2016.1183070

Bibtex

@article{d7dc4ecec5264641b6fe6ffa0240ed6c,
title = "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence",
abstract = "This article proposes a new likelihood-based panel cointegration rank testwhich extends the test of {\"O}rsal and Droge (2014) (henceforth panel SL test)to dependent panels. The dependence is modelled by unobserved commonfactors which affect the variables in each cross-section through heterogeneousloadings. The data are defactored following the panel analysis of nonstation-arity in idiosyncratic and common components (PANIC) approach of Bai andNg (2004) and the cointegrating rank of the defactored data is then tested bythe panel SL test. AMonte Carlo study demonstrates that the proposed testingprocedure has reasonable size and power properties in finite samples.",
keywords = "Economics, empirical/statistics, Common factors, cross-sectional dependence, likelihood-ratio, panel cointegration rank test, time trend",
author = "Antonia Arsova and {Karaman {\"O}rsal}, {Deniz Dilan}",
year = "2018",
month = nov,
day = "26",
doi = "10.1080/07474938.2016.1183070",
language = "English",
volume = "37",
pages = "1033--1050",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor and Francis Ltd.",
number = "10",

}

RIS

TY - JOUR

T1 - Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

AU - Arsova, Antonia

AU - Karaman Örsal, Deniz Dilan

PY - 2018/11/26

Y1 - 2018/11/26

N2 - This article proposes a new likelihood-based panel cointegration rank testwhich extends the test of Örsal and Droge (2014) (henceforth panel SL test)to dependent panels. The dependence is modelled by unobserved commonfactors which affect the variables in each cross-section through heterogeneousloadings. The data are defactored following the panel analysis of nonstation-arity in idiosyncratic and common components (PANIC) approach of Bai andNg (2004) and the cointegrating rank of the defactored data is then tested bythe panel SL test. AMonte Carlo study demonstrates that the proposed testingprocedure has reasonable size and power properties in finite samples.

AB - This article proposes a new likelihood-based panel cointegration rank testwhich extends the test of Örsal and Droge (2014) (henceforth panel SL test)to dependent panels. The dependence is modelled by unobserved commonfactors which affect the variables in each cross-section through heterogeneousloadings. The data are defactored following the panel analysis of nonstation-arity in idiosyncratic and common components (PANIC) approach of Bai andNg (2004) and the cointegrating rank of the defactored data is then tested bythe panel SL test. AMonte Carlo study demonstrates that the proposed testingprocedure has reasonable size and power properties in finite samples.

KW - Economics, empirical/statistics

KW - Common factors

KW - cross-sectional dependence

KW - likelihood-ratio

KW - panel cointegration rank test

KW - time trend

UR - http://www.scopus.com/inward/record.url?scp=84978066594&partnerID=8YFLogxK

U2 - 10.1080/07474938.2016.1183070

DO - 10.1080/07474938.2016.1183070

M3 - Journal articles

VL - 37

SP - 1033

EP - 1050

JO - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 10

ER -

Other publications by the same author(s)

Geopolitical risks and financial stress in emerging economies

NguyenHuu, T. & Örsal, D. K., 01.2024, In: World Economy. 47, 1, p. 217-237 21 p.

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

Computing Consumer Sentiment in Germany via Social Media Data

Karaman Örsal, D. & Sturm, S., 2021, Hamburg: Universität Hamburg, 12 p. (Hamburg Discussion Papers in International Economics; no. 7).

Research output: Working paper › Working papers

Onlinedaten und Konsumentscheidungen: Voraussagen anhand von Daten aus Social Media und Suchmaschinen

Karaman Örsal, D., 01.09.2021, Neuvermessung der Datenökonomie. Straubhaar, T. (ed.). Hamburg: Hamburg University Press, p. 157-173 17 p. (Edition HWWI; vol. 6).

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

Long-run economic determinants of asylum applications

Karaman Örsal, D. D., 10.03.2021, In: Economics Bulletin. 41, 1, p. 48-59 12 p.

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

A new and benign hegemon on the horizon? The Chinese century and growth in the Global South

Nguyen, H. T. & Karaman Örsal, D. D., 28.04.2020, In: Economics. 14, 1, p. 1-34 34 p., 2020-12.

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

DOI

Recently viewed

Publications

  1. Geometric series with randomly increasing exponents
  2. Lengthscale-dependent modelling of ductile failure in metallic microstructures
  3. A tale of scale: Plot but not neighbourhood tree diversity increases leaf litter ant diversity
  4. Modelling of a servo piezo mechanical hydraulic actuator and its feed-forward control
  5. Motion-decoupled internal force control in grasping with visco-elastic contacts
  6. Conception of an indirectly controlled servo valve for IC engine valve position control
  7. The Lotka-Volterra Model for Competition Controlled by a Sliding Mode Approach
  8. Impact assessment of emissions stabilization scenarios with and without induced technological change
  9. Simulation of composite hot extrusion with high reinforcing Volumes
  10. Online Network Impedance Identification with Wave-Package and Inter-Harmonic Signals
  11. The relationship between values and knowledge in visioning for landscape management
  12. Bifurcation loads of beams of glued-laminated timber with intermediate lateral supports
  13. Wie lang sollte eine Rollstuhlrampe sein?
  14. The differential effects of self-view in virtual meetings when speaking vs. listening
  15. Noninteracting force/motion control of defective manipulation systems
  16. Comparing marginal effects between different models and/or samples
  17. A Unified Contextual Bandit Framework for Long- and Short-Term Recommendations
  18. A switching observer for sensorless control of an electromagnetic valve actuator for camless internal combustion engines
  19. From stories to maps
  20. Sense of Place in Spatial Planning
  21. Solution for the direct kinematics problem of the general stewart-gough platform by using only linear actuators’ orientations
  22. CETUS – a baseline approach to type extraction
  23. Imitation and interindividual differences
  24. Frame-based Optimal Design
  25. Control of geometry deviation by stiffness variation in polymer deep drawing tools
  26. Comparative study of resonant circuit for power transmission via inductive link
  27. Non-invasive approaches for phenotyping of enhanced performance traits in bean
  28. Investigation of the utilization of oat pomace and acid whey in technical scale succinic acid fermentation including downstream processing
  29. Assessing mire-specific biodiversity with an indicator based approach
  30. The interaction of ecological norm orientation and external factors in the domain of travel mode choice behavior
  31. Facilitating collaborative processes in transdisciplinary research using design prototyping
  32. 3D characterization of beta-phases in AZ91D by synchrotron-radiation based microtomography
  33. Experimental and numerical analysis of material flow in porthole die extrusion
  34. Testing for Economies of Scope in European Railways
  35. Bifurcation loads of circular curved beams of glued-laminated timber with continuous lateral support
  36. Effects of different video- or text-based reflection stimuli on pre-service teachers’ emotions, immersion, cognitive load and knowledge-based reasoning
  37. Cognitive performance limitations in operating rooms
  38. Current and New Research Perspectives on Dynamic Facial Emotion Detection in Emotional Interface
  39. Consumer response to monochrome Guideline Daily Amount nutrition labels
  40. Non-destructive transmissive inductive thickness sensor for IoT applications
  41. Functional trait similarity of native and invasive herb species in subtropical China-Environment-specific differences are the key
  42. In situ synchrotron diffraction of the solidification of Mg-RE alloys
  43. MICSIM: Concept, Developments, and Applications of a PC Microsimulation Model for Research and Teaching
  44. UAV remote laser scanner improvement by continuous scanning using DC motors
  45. Decoding evidence-based entrepreneurship
  46. Microstructure and corrosion of AZ91 with small amounts of cerium