Palgrave Handbook of Econometrics: Applied Econometrics

652 Panel Methods to Test for Unit Roots and Cointegration The results, as reported in O’Connell (1998, p. 6, Table 1) for non-z ...

Anindya Banerjee and Martin Wagner 653 estimator ofis given by the (estimated) covariance matrix of the first differences of th ...

654 Panel Methods to Test for Unit Roots and Cointegration (iii) For eachi, εi,t∼i.i.d.(0,σε^2 i),E|εi,t|^8 ≤A, ∑∞ j= 0 j||Hi,j| ...

Anindya Banerjee and Martin Wagner 655 πˆ =y ̃′fˆ/(T− 1 )under the normalizationfˆ′fˆ/(T− 1 )=Ir, whereIris ther×r identity matr ...

656 Panel Methods to Test for Unit Roots and Cointegration this issue, which complicates the use of first-generation panel unit ...

Anindya Banerjee and Martin Wagner 657 of the dynamic properties of these series (under the assumptions posited above). That is, ...

658 Panel Methods to Test for Unit Roots and Cointegration in the IPS-type regressions, where the former are taken to act as a p ...

Anindya Banerjee and Martin Wagner 659 rewritten in the form given by (13.5)–(13.7) above): yit=μi+y^0 i,t y^0 i,t=φiyi^0 ,t− 1 ...

660 Panel Methods to Test for Unit Roots and Cointegration Y− 1 =(y1,− 1 ,y2,− 1 ,...,yN,− 1 ) uˆi=(uˆi,1,...,uˆi,T)′ uˆ=(uˆ 1 , ...

Anindya Banerjee and Martin Wagner 661 Choi (2006a) The final specialization discussed here, due to Choi (2006a), is based on a ...

662 Panel Methods to Test for Unit Roots and Cointegration 13.2.2.4 Nonlinear instrumental variables unit root test – Chang (200 ...

Anindya Banerjee and Martin Wagner 663 integrated panels needs to take account of shifts in the deterministic parts of the proce ...

664 Panel Methods to Test for Unit Roots and Cointegration (1999). For pooling to lead to tests with power requires all the idio ...

Anindya Banerjee and Martin Wagner 665 As in section 13.2.2.2, let: yi=(yi,2,...,yi,T)′ ei∗=(ei∗,2,...,e∗i,T)′ F=(F 2 ,. ...

666 Panel Methods to Test for Unit Roots and Cointegration These results apply even when the break dates are unknown.^22 Analysi ...

Anindya Banerjee and Martin Wagner 667 where: λi,k= Tbi,k T ,k=1,...,mi+ 1 , which are fractions that remain constant asT→∞ λi=( ...

668 Panel Methods to Test for Unit Roots and Cointegration Then (13.15) can be thought of as a model with intercept breaks, wher ...

Anindya Banerjee and Martin Wagner 669 Looking at (13.16), it becomes clear that there are several potential sources of cross-se ...

670 Panel Methods to Test for Unit Roots and Cointegration Table 13.2 Results of first-generation panel unit root and stationari ...

Anindya Banerjee and Martin Wagner 671 Table 13.3 Results of Bai and Ng (2004) analysis Factors BNN BNχ 2 MQc(m)MQf(m) Euro-area ...