1,720,994 research outputs found
Estimating unobservable common trends in small samples using panel cointegration methods
No full textNon stationary panel models allowing for latent trends have recently be-
come very popular. However, standard methods, which are based on factor
extraction or cross-section averages, require large sample sizes typically not
available in practice. In these cases we propose the simple and robust al-
ternative of augmenting the panel regression with common time dummies,
checking the validity of the underlying assumptions by means of a panel
cointegration test. An application to modelling labour productivity growth
in the four major European economies (France, Germany, Italy and UK)
illustrates the method
Testing for cointegration in dependent panels via residual-based bootstrap methods
Full text linkWe address the issue of panel cointegration testing in dependent panels,
showing by simulations that tests based on the stationary bootstrap deliver
good size and power performances even with small time and cross-section
sample sizes and allowing for a break at a known date. They can thus
be an empirically important alternative to asymptotic methods based on
the estimation of common factors. Potential extensions include test for
cointegration allowing for a break in the cointegrating coe¢ cients at an
unknown date
Savings and investments in the oecd: a panel cointegration study with a new bootstrap test
No full textIn this paper we test for the existence of a long-run savings-investments relationship in 18 OECD economies over the period 1970-2007. Although individual modelling provides only very weak support to the hypothesis of a link between savings and investments, this cannot be ruled out as individual time series tests may have low power. We thus construct a new bootstrap test for panel cointegration robust to short- and long-run dependence across units. This test provides evidence of a long-run savings-investments relationship in about half of the OECD economies examined, including USA and Japan, but not Germany. The elasticities are however often smaller than 1, the value expected under no capital movements
Industrial development in the Italian regions, 1861-1913: new evidence
No full textThis paper studies the growth of manufacturing industrial value added in the Italian regions from
1861 to 1913 using a recently released dataset at annual frequency and disaggregation in ten industries.
Estimation of an approximate factor model shows long-run growth is essentially explained by two nonstationary
factors, an essentially monotonous trend and a very long cycle. The loadings of the trend
factor are highest in the North-West and lowest in the South. The residuals of the factor model are then
studied using spatial autoregressive panel models, which suggest that spatial spillovers were signiÖcant
and essentially similar in all industries
A note on the estimation of long-run relationships in dependent cointegrated panels
Full text linkWe address the issue of estimation and inference in dependent nonstationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators.
SUR estimators perform badly, or are even unfeasible, when the time dimension is not very large compared to the cross-section dimension
A residual-based bootstrap test for panel cointegration
No full textWe address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coefficients at an unknown date
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