Meta-analytic cointegrating rank tests for dependent panels
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Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg, 2015. (University of Lüneburg Working Paper Series in Economics ; No. 349).
Research output: Working paper › Working papers
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TY - UNPB
T1 - Meta-analytic cointegrating rank tests for dependent panels
AU - Karaman Örsal, Deniz Dilan
AU - Arsova, Antonia
PY - 2015/11
Y1 - 2015/11
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 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.
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 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.
KW - Economics
KW - Panel cointegration
KW - p-value
KW - Common factors
KW - Rank test
KW - Cross-sectional dependence
KW - Economics, empirical/statistics
M3 - Working papers
T3 - University of Lüneburg Working Paper Series in Economics
BT - Meta-analytic cointegrating rank tests for dependent panels
PB - Institut für Volkswirtschaftslehre der Universität Lüneburg
CY - Lüneburg
ER -