Palgrave Handbook of Econometrics: Applied Econometrics

672 Panel Methods to Test for Unit Roots and Cointegration covariance matrices of the first differences of the estimated idiosyn ...

Anindya Banerjee and Martin Wagner 673 Table 13.5 Results of the tests of Bai and Carrion-i-Silvestre (2007) for unit roots in n ...

674 Panel Methods to Test for Unit Roots and Cointegration capita GDP) and pollution (often proxied by emissions) have been cond ...

Anindya Banerjee and Martin Wagner 675 capita GDP and emissions, the use of a panel perspective may appear fruitful to enhance t ...

676 Panel Methods to Test for Unit Roots and Cointegration Table 13.6 Results of Bai and Ng (2004) analysis Factors BNN BNχ 2 MQ ...

Anindya Banerjee and Martin Wagner 677 Table 13.8 Results of the tests of Bai and Carrion-i- Silvestre (2007) for unit roots in ...

678 Panel Methods to Test for Unit Roots and Cointegration moments) relatively simple sequential central limit theory provides t ...

Anindya Banerjee and Martin Wagner 679 Single-equation methods, however, offer some advantages, since they allow us to consider ...

680 Panel Methods to Test for Unit Roots and Cointegration As in the unit root discussion, before dealing with the general probl ...

Anindya Banerjee and Martin Wagner 681 13.3.1.1 Testing for the null hypothesis of no cointegration – Pedroni (1999, 2004) Write ...

682 Panel Methods to Test for Unit Roots and Cointegration pooledρ-test: N^1 /^2 N−^1 ∑N i= 1 ωˆ−u.^2 ν,i ( T−^1 ∑T t= 2 uˆi,t− ...

Anindya Banerjee and Martin Wagner 683 (iii) Group mean tests (nonparametric corrections) group meanρ-test:N−^1 /^2 ∑N i= 1 ( T− ...

684 Panel Methods to Test for Unit Roots and Cointegration has geometrically declining weights – that is, the(i,j)th element of ...

Anindya Banerjee and Martin Wagner 685 We focus here on the parametric version of the pooledt-test corrected paramet- rically (g ...

686 Panel Methods to Test for Unit Roots and Cointegration Model 2: Time trend with a change in intercept but stable cointegrati ...

Anindya Banerjee and Martin Wagner 687 for theith unit the fraction which minimizes the sequence of the individual t-statistics. ...

688 Panel Methods to Test for Unit Roots and Cointegration and would reach very similar characterizations of the limiting densi ...

Anindya Banerjee and Martin Wagner 689 the limiting distributions of the statistics do not depend on the stochastic regres- sors ...

690 Panel Methods to Test for Unit Roots and Cointegration y∗i=Miyi. Normalizing, f ̃′f ̃ T− 1 =I, we have the estimate of the ...

Anindya Banerjee and Martin Wagner 691 Moreover, if we assume for the moment that there is only one factor, then the estimated f ...