nep-ets New Economics Papers
on Econometric Time Series
Issue of 2005‒02‒27
two papers chosen by
Yong Yin
SUNY at Buffalo

  1. Expectations Hypotheses Tests and Predictive Regressions at Long Horizons By Rossi, Barbara
  2. Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results By Jönsson , Kristian

  1. By: Rossi, Barbara
    Abstract: Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. Commonly used test statistics may lead to over-rejections in small samples in the presence of highly persistent variables. Similar problems occur in longhorizon predictive regressions. We propose an alternative method based on local-tounity asymptotic approximations. We apply this method to long-horizon Predictive Regressions, Uncovered Interest Rate Parity, the Term Structure, and the Permanent Income Hypothesis.
    Keywords: expectation hypotheses; present value models; long-horizon; local to unity
    JEL: F30 F40
    Date: 2005
  2. By: Jönsson , Kristian (Department of Economics, Lund University)
    Abstract: Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial correlation in the disturbance terms is allowed for. Instead, we supply standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the disturbances may be an issue. We also document a serious small-sample bias in the panel data stationarity test when a linear trend is present in the data.
    Keywords: Panel Data; Stationarity; Serial Correlation; Monte Carlo Simulation
    JEL: C15 C23 C32 C33
    Date: 2005–02–18

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