Sökning: "Panel unit root tests"

Visar resultat 6 - 10 av 16 avhandlingar innehållade orden Panel unit root tests.

  1. 6. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model

    Författare :Martin Solberger; Rolf Larsson; Johan Lyhagen; Jean-Pieree Urbain; Uppsala universitet; []
    Nyckelord :panel unit root; dynamic factors; maximum likelihood; Lagrange multiplier; likelihood ratio; factor analysis; Statistics; Statistik;

    Sammanfattning : Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people, firms, regions, or countries, by pooling information over the cross-section. Though much of the panel research concerns inference in stationary models, macroeconomic data such as GDP, prices, and interest rates are typically trending over time and require in one way or another a nonstationary analysis. LÄS MER

  3. 7. On Non Parametric Regression and Panel Unit Root Testing

    Författare :Xijia Liu; Rolf Larsson; Johan Lyhagen; Niklas Ahlgren; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : In this thesis, two different issues in econometrics are studied, the estimation of regression coefficients and the non-stationartiy analysis in a panel setting.Regarding the first topic, we study a set of measure of location-based estimators (MLBEs) for the slope parameter in a linear regression model with a single stochastic regressor. LÄS MER

  4. 8. Testing the unit root hypothesis in nonlinear time series and panel models

    Författare :Rickard Sandberg; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The thesis contains the four chapters: Testing parameter constancy in unit root autoregressive models against continuous change; Dickey-Fuller type of tests against nonlinear dynamic models; Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed; Testing unit roots in nonlinear dynamic heterogeneous panels. In Chapter 1 we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. LÄS MER

  5. 9. Mostly Panel Econometrics : Essays on Asymptotic Analysis and Enhanced Inference

    Författare :Ovidijus Stauskas; Joakim Westerlund; Ignace De Vos; Milda Norkute; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometrics; Panel Data; Factor Models; Bootstrap; Forecasting; Non-Stationary Data; Common Correlated Effects; CCE;

    Sammanfattning : This thesis consists of five chapters which focus on panel data theory. Four of them analyze explicit panel data models and one chapter deals with time series forecasting model, where external panel data help us estimate unobserved explanatory variables. LÄS MER

  7. 10. Estimation and Testing in Panel Data with Cross-Section Dependence

    Författare :Simon Reese; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Factor-augmented panel regression; CCE estimation; cross-section dependence; common factor models; Factor-augmented panel regression; CCE estimation; cross-section dependence; common factor models;

    Sammanfattning : This thesis makes a contribution the econometrics of panel data with cross-section dependence (CSD). It consists of five self-contained papers. LÄS MER