Meta-analytic cointegrating rank tests for dependent panels

Deniz Dilan Karaman Örsal; Antonia Arsova

Meta-analytic cointegrating rank tests for dependent panels

Research output: Working paper › Working papers

Standard

Meta-analytic cointegrating rank tests for dependent panels. / Karaman Örsal, Deniz Dilan ; Arsova, Antonia.
Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg, 2015. (University of Lüneburg Working Paper Series in Economics ; No. 349).

Research output: Working paper › Working papers

Harvard

Karaman Örsal, DD & Arsova, A 2015 'Meta-analytic cointegrating rank tests for dependent panels' University of Lüneburg Working Paper Series in Economics , no. 349, Institut für Volkswirtschaftslehre der Universität Lüneburg, Lüneburg.

APA

Karaman Örsal, D. D., & Arsova, A. (2015). Meta-analytic cointegrating rank tests for dependent panels. (University of Lüneburg Working Paper Series in Economics ; No. 349). Institut für Volkswirtschaftslehre der Universität Lüneburg.

Vancouver

Karaman Örsal DD , Arsova A. Meta-analytic cointegrating rank tests for dependent panels. Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg. 2015 Nov. (University of Lüneburg Working Paper Series in Economics ; 349).

Bibtex

@techreport{3000c9b5c2a4475ebb1a4f14b90ba171,

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 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. ",

keywords = "Economics, Panel cointegration, p-value, Common factors, Rank test, Cross-sectional dependence, Economics, empirical/statistics",

author = "{Karaman {\"O}rsal}, {Deniz Dilan} and Antonia Arsova",

year = "2015",

month = nov,

language = "English",

series = "University of L{\"u}neburg Working Paper Series in Economics ",

publisher = "Institut f{\"u}r Volkswirtschaftslehre der Universit{\"a}t L{\"u}neburg",

number = "349",

type = "WorkingPaper",

institution = "Institut f{\"u}r Volkswirtschaftslehre der Universit{\"a}t L{\"u}neburg",

}

RIS

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 -

Documents

Download
184 KB, PDF document