Abstract Details
Activity Number:
|
607
|
Type:
|
Contributed
|
Date/Time:
|
Thursday, August 7, 2014 : 8:30 AM to 10:20 AM
|
Sponsor:
|
Business and Economic Statistics Section
|
Abstract #313509
|
|
Title:
|
A Common-Correlated Effects Approach to Testing Slope Homogeneity in Cointegrated Panels
|
Author(s):
|
Mohitosh Kejriwal*+
|
Companies:
|
Purdue University
|
Keywords:
|
slope homogeneity ;
cointegration ;
common-correlated effects ;
cross-section dependence
|
Abstract:
|
This paper proposes new tests for slope homogeneity in cointegrated panels with cross-section dependence. We employ the common-correlated effects approach of Pesaran (Econometrica, 2006) to account for cross-section dependence through the inclusion of cross-sectional averages of the model variables. The test statistics we propose are modified versions of those that have been proposed under the assumption of cross-section independence. The limit distributions of the new tests are derived and critical values are tabulated. An extensive set of Monte Carlo simulations is performed both to evaluate the merits of our proposed procedures as well as compare their performance to existing ones. Empirical examples are used to illustrate the use of the suggested methods.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2014 program
|
2014 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Professional Development program, please contact the Education Department.
The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Copyright © American Statistical Association.