Meta-analytic cointegrating rank tests for dependent panels

Research output: Working paperWorking papers

Authors

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 test shave reasonable size and power properties infinite samples.
The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.
Original languageEnglish
Place of PublicationLüneburg
PublisherInstitut für Volkswirtschaftslehre der Universität Lüneburg
Number of pages16
Publication statusPublished - 11.2015

Documents

Recently viewed

Activities

  1. Virtual Songwriting. Fostering Creative Processes through „Challenge“ and „Collaboration“.
  2. 15th Organization Studies Summer Workshop 2020
  3. The 14th International Symposium of Mathematical Theory of Networks and Systems - MTNS 2000
  4. It’s all about engagement with texts – Empirical findings about promoting students’ reading comprehension by well-structured texts
  5. Workshop „Different Worlds of Political Party Development. Comparative Analysis of the Institutionalization of Political Parties“
  6. Academy of Management Conference
  7. New Sites in Organization Studies: A Seminar Series
  8. Education for Sustainable Development – Experiences from Theory and Practice
  9. Interactions between social movements and international organisations
  10. Inter-university Consortium for Political and Social Research Summer Program in Quantitative Methods - 2019
  11. 18th International Conference on Panel Data 2012
  12. Eigenzeiten of Creativity: Challenges for Temporal Coordination in Creative Projects in Arts and Science
  13. Language and Communication (Fachzeitschrift)
  14. On the measuring accuracy of the “Vehrs-Hebel”, a scaling apparatus for nonverbal real-time assessment of perceived quantity
  15. LABOR.A® 2019 - LABORA19
  16. The History of Art is Linked but the Data Is Not: Georgia O’Keeffe, Provenance and Scholarship
  17. Organizational responses to evaluations, rankings and performance indicators – evidence from French and German Universities
  18. Materialexplosion und Avantgardeanspruch
  19. Strange Signs: Invented Languages from Alienation to Zany
  20. Curatorial/Knowledge Seminar - 2017