Testing nonstationary panels under cross-correlation new methods and empirical evidence
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2006
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV022303119 | ||
| 003 | DE-604 | ||
| 005 | 20071010 | ||
| 007 | t| | ||
| 008 | 070308s2006 gw d||| m||| 00||| eng d | ||
| 015 | |a 07,H03,0658 |2 dnb | ||
| 016 | 7 | |a 982586957 |2 DE-101 | |
| 035 | |a (OCoLC)180862991 | ||
| 035 | |a (DE-599)BVBBV022303119 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE | ||
| 049 | |a DE-355 |a DE-384 | ||
| 082 | 0 | |a 519.55 |2 22/ger | |
| 084 | |a QH 233 |0 (DE-625)141548: |2 rvk | ||
| 084 | |a 510 |2 sdnb | ||
| 100 | 1 | |a Tarcolea, Adina Ioana |d 1979- |e Verfasser |0 (DE-588)132433303 |4 aut | |
| 245 | 1 | 0 | |a Testing nonstationary panels under cross-correlation |b new methods and empirical evidence |c vorgelegt von Adina Ioana Tarcolea |
| 264 | 1 | |c 2006 | |
| 300 | |a XII, 83 S. |b graph. Darst. |c 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2006 | ||
| 650 | 0 | 7 | |a Zeitreihe |0 (DE-588)4127298-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Panel |0 (DE-588)4173171-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Statistischer Test |0 (DE-588)4077852-6 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Statistischer Test |0 (DE-588)4077852-6 |D s |
| 689 | 0 | 1 | |a Panel |0 (DE-588)4173171-2 |D s |
| 689 | 0 | 2 | |a Zeitreihe |0 (DE-588)4127298-5 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015513062&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-015513062 | |
Datensatz im Suchindex
| _version_ | 1819599985202692096 |
|---|---|
| adam_text | Table of Contents
List of original working papers i
List of figures ix
List of tables xii
Preface 1
1 Testing for Linear Trends 5
1.1 Introduction 5
1.2 Model and test 6
1.2.1 1(0) panels 7
1.2.2 1(1) panels 10
1.2.3 Unknown integration order 11
1.3 Investment shares of per capita GDP 16
1.4 Conclusions 20
2 Panel Cointegration Testing 21
2.1 Motivation 21
2.2 Model and assumptions 22
2.3 Asymptotic results 24
2.3.1 Single unit test 25
2.3.2 Panel test 30
2.4 Small sample behavior 32
2.4.1 Behavior of the single unit test 33
2.4.2 Behavior of the panel test 35
2.5 Conclusions 38
Appendix 39
3 Combining Significance of Correlated Statistics 47
3.1 Introduction 47
vii
viii TABLE OF CONTENTS
3.2 The modified inverse normal method 49
3.3 Panel tests 53
3.3.1 Standard case 54
3.3.2 Non standard case 56
3.4 Concluding remarks 60
Appendix 60
4 Combining Multi Country Evidence 63
4.1 Introduction 63
4.2 Combining Dickey Fuller tests 64
4.3 Combining p values 65
4.4 Empirical results 68
4.5 Concluding remarks 70
Zusammenfassung 71
Bibliography 75
List of Figures
1.1 Investment shares of per capita GDP in EU15 19
ix
List of Tables
1.1 Critical values for r* in the 1(0) case 9
1.2 Size (5%) and power of test based on t in the 1(0) case 10
1.3 Critical values for r* in the 1(1) case 11
1.4 Size (5%) and power of test based on t* in the 1(1) case 12
1.5 Size (5%) and power of test based on ts as function of block
length, T=50 14
1.6 Size (5%) and power of test based on ts as function of block
length, T=100 15
1.7 Size (5%) and power of test based on ts as function of block
length, T=250 16
1.8 Size (5%) and power of test based on rs in the 1(0) case, / as
bolded in Tables 1.5, 1.6 and 1.7 17
1.9 Size (5%) and power of test based on rs in the 1(1) case, / as
bolded in Tables 1.5, 1.6 and 1.7 17
2.1 Size and power of single test statistic [%], £ = lK+1, a, ^ 0. . . 33
2.2 Size and power of single test statistic [%], p = 0.5, ae = 0. ... 34
2.3 Size and power of single test statistic [%], p = 0.5, ae ^ 0. ... 35
2.4 Size and power of panel test, p = 0.5, ae / 0, N = 2 30
2.5 Characteristics of single and panel (N = 2) test statistics under
the null hypothesis 37
2.6 Size and power of panel test, N = 5 and N = 10 38
3.1 Panel t test for Zu py = 0.2 55
3.2 Panel t test for T,u py = 0.5 55
3.3 Panel t test for Sj, py = 0.8 56
3.4 Panel t test for S2, py = 0.5 56
3.5 Panel unit root test for Si, py = 0.2 57
3.6 Panel unit root test for Sj, py = 0.5 58
3.7 Panel unit root test for Ei, py = 0.8 58
3.8 Panel unit root test for random correlation matrices 59
xi
xil LIST OF TABLES
4.1 Size (and power) with cointegrated series 68
4.2 p values testing interest rates 69
4.3 p values testing differentials 70
|
| any_adam_object | 1 |
| author | Tarcolea, Adina Ioana 1979- |
| author_GND | (DE-588)132433303 |
| author_facet | Tarcolea, Adina Ioana 1979- |
| author_role | aut |
| author_sort | Tarcolea, Adina Ioana 1979- |
| author_variant | a i t ai ait |
| building | Verbundindex |
| bvnumber | BV022303119 |
| classification_rvk | QH 233 |
| ctrlnum | (OCoLC)180862991 (DE-599)BVBBV022303119 |
| dewey-full | 519.55 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.55 |
| dewey-search | 519.55 |
| dewey-sort | 3519.55 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01676nam a2200433 c 4500</leader><controlfield tag="001">BV022303119</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20071010 </controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">070308s2006 gw d||| m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">07,H03,0658</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">982586957</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)180862991</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV022303119</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.55</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 233</subfield><subfield code="0">(DE-625)141548:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">510</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Tarcolea, Adina Ioana</subfield><subfield code="d">1979-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)132433303</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Testing nonstationary panels under cross-correlation</subfield><subfield code="b">new methods and empirical evidence</subfield><subfield code="c">vorgelegt von Adina Ioana Tarcolea</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2006</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 83 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">21 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Frankfurt am Main, Univ., Diss., 2006</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihe</subfield><subfield code="0">(DE-588)4127298-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Panel</subfield><subfield code="0">(DE-588)4173171-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Statistischer Test</subfield><subfield code="0">(DE-588)4077852-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Statistischer Test</subfield><subfield code="0">(DE-588)4077852-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Panel</subfield><subfield code="0">(DE-588)4173171-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Zeitreihe</subfield><subfield code="0">(DE-588)4127298-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015513062&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-015513062</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV022303119 |
| illustrated | Illustrated |
| indexdate | 2024-12-23T19:57:57Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015513062 |
| oclc_num | 180862991 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-384 |
| owner_facet | DE-355 DE-BY-UBR DE-384 |
| physical | XII, 83 S. graph. Darst. 21 cm |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| record_format | marc |
| spellingShingle | Tarcolea, Adina Ioana 1979- Testing nonstationary panels under cross-correlation new methods and empirical evidence Zeitreihe (DE-588)4127298-5 gnd Panel (DE-588)4173171-2 gnd Statistischer Test (DE-588)4077852-6 gnd |
| subject_GND | (DE-588)4127298-5 (DE-588)4173171-2 (DE-588)4077852-6 (DE-588)4113937-9 |
| title | Testing nonstationary panels under cross-correlation new methods and empirical evidence |
| title_auth | Testing nonstationary panels under cross-correlation new methods and empirical evidence |
| title_exact_search | Testing nonstationary panels under cross-correlation new methods and empirical evidence |
| title_full | Testing nonstationary panels under cross-correlation new methods and empirical evidence vorgelegt von Adina Ioana Tarcolea |
| title_fullStr | Testing nonstationary panels under cross-correlation new methods and empirical evidence vorgelegt von Adina Ioana Tarcolea |
| title_full_unstemmed | Testing nonstationary panels under cross-correlation new methods and empirical evidence vorgelegt von Adina Ioana Tarcolea |
| title_short | Testing nonstationary panels under cross-correlation |
| title_sort | testing nonstationary panels under cross correlation new methods and empirical evidence |
| title_sub | new methods and empirical evidence |
| topic | Zeitreihe (DE-588)4127298-5 gnd Panel (DE-588)4173171-2 gnd Statistischer Test (DE-588)4077852-6 gnd |
| topic_facet | Zeitreihe Panel Statistischer Test Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015513062&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT tarcoleaadinaioana testingnonstationarypanelsundercrosscorrelationnewmethodsandempiricalevidence |