Optimal panel unit root testing with covariates the. Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. The use of such panel data variables has attracted considerable attention in the empirical economics literature. Joakim westerlund is an associate professor in the department of economics. Joakim westerlund department of economics, lund university, lund, sweden summary most empirical evidence suggests that the fisher effect, stating that in. I leave it to joakim westerlund to cover the case where t is large.
A random coefficient approach to the predictability of stock returns in panels. The econometrics journal, volume 22, issue 1, january 2019, pages 5772. Groningen and joakim westerlund lund university and deakin university. I have been focusing on the case when both the number of time periods, t, and the number crosssectional units, n, are large, but i have also considered panels where n or t are small and only one of the indices are required to be large. Department of economics, lund university, lund, sweden. Pdf estimating the gravity model without gravity using. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. The working papers are a series of manuscripts in their draft form. Testing for panel cointegration with multiple structural breaks by. Cce estimation of factoraugmented regression models with more factors than observables, journal of applied econometrics, volume 34, issue 2, march 2019, pages 268284. A guide to modern econometrics the nigerian professional. A note on the pooling of individual panic unit root tests volume 25 special issue joakim westerlund, rolf larsson skip to main content accessibility help we use cookies to distinguish you from other users and to provide you with a better experience on our websites.
Westerlund, joakim, testing for panel cointegration with multiple structural breaks. The tests are simple because they do not require any correction for the temporal dependencies of the data. The tests are general enough to allow for a large degree of heterogeneity, both in the longrun cointegrating relationship and in the shortrun dynamics, and dependence within as. Joakim westerlund department of economics lund university lund, sweden abstract.
Authors of all accepted papers and replications are required to submit all data and codes prior to publication for more. Testing for predictability in panels with general predictors. We reexamine the taxspending nexus using, for the first time, a panel of fifty us statelocal government units over the period 196397 and panel techniques that allow for crosssectional dependence. Panicca panic on crosssection averages simon reese lund university joakim westerlund lund university and financial econometrics group centre for research in economics and financial econometrics.
Joakim s primary research interest is the analysis of panel data. New global evidence paresh kumar narayan, susan sunila sharma, wai ching poon, joakim westerlund mailing address alfred deakin professor paresh kumar narayan school of accounting, economics and finance. Joakim westerlund, kannan thuraisamy, susan sharma. Department of agriculture, economic research service department of economics, lund university, sweden. Testing for panel cointegration with multiple structural. Testing for predictability in panels with general predictors joakim westerlund lund university and financial econometrics group centre for research in economics and financial econometrics deakin university. Testing for panel cointegration with multiple structural breaks. Disentangling the e ects of monetary union on the eu. Joakim westerlund is a professor and chair in the department of economics in deakin business school. On the determination of the number of factors using information criteria with datadriven penalty, statistical papers, springer, vol. This paper develops a very simple test for the null hypothesis of no cointegration in panel data. Department of economics east west university aftabnagar main road dhaka 1219, bangladesh syed. My work is mainly theoretical, although i also do empirical work. Oxford bulletin of economics and statistics, 61, 4, 653670, 1999.
Working papers in economics no 378 the taxspending. Simon reese usc dana and david dornsife college of. Heterogeneous country spillovers from global monetary normalization and systemic global risk. The ones marked may be different from the article in the profile. Simon reese usc dornsife institute for new economic thinking university of southern california. For further study in econometrics beyond this text, i recommend davidson 1994 for asymptotic theory, hamilton 1994 for timeseries methods, wooldridge 2002 for panel data and discrete response models, and li and racine 2007 for nonparametrics and semiparametric econometrics. Please do not quote without obtaining the authors consent as. Joe journal of econometrics vol 185, issue 2, pages.
In practice, it is common that the length of the time series andor the. In this note we derive the local asymptotic power function of the standardized averaged dickeyfuller panel unit root statistic of im, pesaran, and shin 2003, journal of econometrics, 115, 5374, allowing for heterogeneous deterministic intercept terms. Econometrics, finance and monetary economics seminar series, maastricht university, 062015 italian congress of econometrics and empirical economics, salerno, 012015 international conference on computational and financial econometrics, pisa, 122014 referee assignments journal of econometrics, economic modelling, empirical economics. Joakim westerlund, department of economics, lund university, sweden. George kapetanios kings business school kings college, london george. Throughout these lectures, i will focus mostly on the large n, small t case. Oxford bulletin of economics and statistics 69 6, 709748, 2007.
Joe journal of econometrics vol 185, issue 2, pages 305. New tools for understanding the local asymptotic power of panel unit root tests. Errorcorrectionbased cointegration tests for panel data. This article describes a new stata command called xtwest, which implements the four errorcorrectionbased panel cointegration tests developed by westerlund. Replication studies of important results in the literature both positive and negative results may be published as short papers in empirical economics. Nonparametric rank tests for nonstationary panels, journal of econometrics, 185 2, 378391, 2015. We find that, unlike tax revenues, expenditures adjust to revert.
Joakim westerlund department of economics lund university joakim. New york camp econometrics xi the islands harbor hotel, clayton, ny april 810, 2016. Request permission export citation add to favorites track citation. My primary research interest is the analysis of nonstationary panel data. Errorcorrectionbased cointegration tests for panel data persyn, damiaan and westerlund, joakim 2008, errorcorrectionbased cointegration tests for panel data, stata journal, vol. Advanced studies, vienna, joakim westerlund, deakin university. May 08, 2006 westerlund, joakim, testing for panel cointegration with multiple structural breaks. This article examines the effects of zero trade on the estimation of the gravity model using both simulated and real data with a panel structure, which is different from the more conventional. Testing for error correction in panel data westerlund. Inference in time series regression when the order of. Econometrics i professor william greene stern school of business department of economics. Takashi yamagata department of economics and related studies university of york takashi.
More precisely, it is the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference. Using different kinds of panel unit root and cointegration tests as well as panel estimations this paper seeks to improve upon the existing literature by testing the possible relationship between globalisation and the real gdp of 29 countries across almost all continents for the period 197020. The test is general enough to allow for heteroskedastic and serially correlated errors, unit. An introductory textbook requiring no previous knowledge of probability and statistics that offers students a solid foundation in regression analysis. We consider the situation where the deviation of the initial observation from the underlying intercept term in each individual time. This article describes a new stata command called xtwest,which implements the four errorcorrectionbased panel cointegration tests developed by westerlund 2007. Centre for economic and financial econometric research, deakin university, melbourne, australia. The econometrics of nonstationary panels, book manuscript, for oxford university press advanced texts in econometrics monograph series, with jeanpierre urbain, maastricht university. Unlimited viewing of the articlechapter pdf and any associated supplements and figures. We thank yixiao sun, joon park, yoosoon chang, and joakim westerlund for helpful discussions.
Optimal panel unit root testing with covariates the econometrics. Abstract in this paper, two new simple residualbased panel data tests are proposed for the null of no cointegration. One issue is the division of the burden of adjustment between the expenditure and revenue sides of the budget during periods of. Testing for error correction in panel data by joakim westerlund. Financial econometrics series swp 201409 do oil prices. My research focuses on econometrics in general and panel data econometrics in particular. This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the gaussian power envelope. Panel cointegration techniques and open challenges, in panel data econometrics, theory, elsevier press, vol 1, pp 25187. Business school centre for financial econometrics economic modelling special issue conference 15th 16th june 2017.
Department of economics, lund university, lund, sweden e. Farmland prices, structural breaks and panel data luciano gutierrez university of sassari, italy joakim westerlund lund university, sweden kenneth erickson us department of agriculture, economic research service, washington, dc, usa received february 2006. Joakim westerlund school of economics and management department of economics lund university box 7080 se220 07 lund, sweden email. Yet they are able to accommodate individual specific shortrun dynamics, individual specific intercept and trend terms, and individual specific slope parameters. Financial econometrics series swp 201409 new global evidence.
Damiaan persyn and joakim westerlund xtwest edward f. Empirical economics emphasizes the replicability of empirical results. View the article pdf and any associated supplements and figures for a period of 48 hours. This cited by count includes citations to the following articles in scholar. Financial econometrics series swp 201510 testing for.
Financial econometrics series swp 201503 does cash flow. Examples of the types of papers include 1 expository papers that link the use of stata commands. Total downloads of all papers by joakim westerlund. T panels westerlund journal of applied econometrics. Sedat demir institute for advanced studies department of economics. If the time periods for which we have data are the same for all n individuals, e. Mahdavi is an associate professor emeritus of economics. A guide to modern econometrics 2nd edition marno verbeek erasmus university rotterdam. Errorcorrectionbased cointegration tests for panel data dro.
Oxford bulletin of economics and statistics 67, 231262, 2005. Structural panel vars, econometrics, 1 2, 180206, 20, feature paper. Maximum likelihood setting up the mle the distribution of the observed random variable is written as a function of the parameters to be estimated py i. Cce in panels with general unknown factors the econometrics. Please do not quote without obtaining the authors consent as these works are in their draft form. Centre for financial econometrics deakin university. Joakim has been focusing on the case when both the number of time periods, t and the number crosssectional units, n, are large but have also considered panels where n or t are small and only one of the indices are required to be. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. The views expressed in this paper are those of the author and not. Arturas juodis faculty of economics and business university of. This article describes a new stata command called xtwest, which implements the four errorcorrectionbased panel cointegration tests developed by westerlund 2007. The tests are general enough to allow for a large degree of. A simple test for cointegration in dependent panels with. Testing for panel cointegration with multiple structural breaks, oxford bulletin of economics and statistics, department of economics, university of oxford, vol.