Search for dissertations about: "Panel unit root tests"

Showing result 1 - 5 of 16 swedish dissertations containing the words Panel unit root tests.

2. 1. Likelihood-Based Panel Unit Root Tests for Factor Models

   Author : Xingwu Zhou; Johan Lyhagen; Joakim Westerlund; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Panel unit root; Exact factor model; Dynamic factor model; Maximum likelihood; Principal components; Lagrange multiplier;

   Abstract : The thesis consists of four papers that address likelihood-based unit root tests for panel data with cross-sectional dependence arising from common factors.In the first three papers, we derive Lagrange multiplier (LM)-type tests for common and idiosyncratic unit roots in the exact factor models based on the likelihood function of the differenced data. READ MORE

4. 2. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

   Author : Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-stationary time series; unit root test; bootstrap; asymptotic refinement; cointegration; panel unit root test; cross-sectional dependence;

   Abstract : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. READ MORE

5. 3. Testing Homogeneity and Unit Root Restrictions in Panels

   Author : Johan Blomquist; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Non-stationary panels; Panel unit root tests; Cross-sectional dependence; Homogeneity testing;

   Abstract : This thesis is divided into two distinct parts. The first part contains three chapters, co-authored with Joakim Westerlund, that deal with the analysis of unit root testing, and the second part consists of two chapters on slope homogeneity testing. READ MORE

6. 4. Essays on Fiscal Policy, Private Consumption and Non-Stationary Panel Data

   Author : Kristian Jönsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomiska system; ekonomisk politik; economic systems; economic theory; econometrics; Economics; Cross-Sectional Dependence; Output Convergence; Unit Root; Stationarity; Panel Data; Government Consumption; Non-Keynesian Effects; Private Consumption; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; Fiscal Policy;

   Abstract : In the first essay of this thesis, we examine whether the effects of fiscal expansions and contractions exert a symmetric influence on the relationship between fiscal policy and private consumption. Our results indicate a considerable asymmetry across fiscal expansions and contractions. READ MORE

7. 5. Essays on Unit-Root Testing and on Discrete-Response Modelling of Firm Mergers

   Author : Nikolay Angelov; Per Johansson; Steinar Strøm; Uppsala universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; unit root; structural break; LR test; stationary alternative; matching; firm mergers; discrete choice; Nationalekonomi; Economics; Nationalekonomi; nationalekonomi; Economics;

   Abstract : Essay 1 investigates the time-series properties of the price of iron ore. The focus is on unit-root testing in the presence of a structural break. Unit-root tests with or without structural breaks are applied to historical prices of five different qualities of Swedish and Brazilian iron ore. Tests with exogenous or endogenous breaks are analyzed. READ MORE