Intersection tests for the cointegrating rank in dependent panel data

Arsova, Antonia; Örsal, Deniz Dilan Karaman

doi:10.1080/03610918.2018.1489552

Cited by 3 publications

(3 citation statements)

References 27 publications

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“…The next step in the analysis is to test the system of all four observed variables for cointegration. For this purpose, the meta-analytic test of Arsova and Örsal (2020) is employed. Similarly to the panel unit root test of Hanck (2013), this test is too based on Simes' multiple testing procedure, where p values from individual-unit likelihoodratio (LR) cointegration rank tests of Saikkonen and Lutkepohl (2000) (SL) are used.…”

Section: Cointegration Testingmentioning

confidence: 99%

“…As the smallest individual p value for testing H 0 : r = 0 by the first variant of the SL test is lower than the corresponding Simes' critical value, while H 0 : r = 1 cannot be rejected, there is evidence of a single cointegrating relationship in the panel at the 5% significance level. In order to ensure that the long-run equilibrium connects not only a certain pair of variables, the test of Arsova and Örsal (2020) is applied to all eight different bivariate systems. The null hypothesis of no cointegration is rejected for neither pair; the results are omitted for brevity.…”

Section: Cointegration Testingmentioning

confidence: 99%

“…Simes' intersection method has been introduced to testing for panel unit roots by Hanck (2013) and to testing for panel cointegration in dependent panels by Arsova and Örsal (2020). Demetrescu et al (2006) employ the modified inverse normal method of Hartung (1999), in which the dependence is captured by a single correlation coefficient ρ t , which can be interpreted as a "mean correlation approximating the case of possibly different correlations between the transformed statistics" (Hartung 1999).…”

Section: A Appendixmentioning

confidence: 99%

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Exchange rate pass-through to import prices in Europe: a panel cointegration approach

Arsova

2020

Empir Econ

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This paper takes a panel cointegration approach to the estimation of short-and longrun exchange rate pass-through (ERPT) to import prices in the European countries. Although economic theory suggests a long-run relationship between import prices and exchange rate, in recent empirical studies its existence has either been overlooked or it has proven difficult to establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis. Exchange rate pass-through elasticities, estimated by two different techniques for cointegrated panel regressions, give insight into the most recent development of the ERPT. Keywords Exchange rate pass-through • Import prices • Panel cointegration • Cross-sectional dependence • Common factors JEL Classification C12 • C23 • F31 The author is grateful to Boris Blagov and to the participants at the 25th International Panel Data Conference in Vilnius, Lithuania, for helpful discussions and to two anonymous referees and the Associate Editor for their constructive comments and suggestions.

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Section: Cointegration Testingmentioning

confidence: 99%

Section: Cointegration Testingmentioning

confidence: 99%

Section: A Appendixmentioning

confidence: 99%

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Exchange rate pass-through to import prices in Europe: a panel cointegration approach

Arsova

2020

Empir Econ

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Testing for Granger causality in heterogeneous panels with cross-sectional dependence

Nazlioglu,

Karul

2024

Empir Econ

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This paper proposes a panel Granger causality approach for heterogeneous panels with cross-sectional dependence. We define a panel VAR model with unobserved common factors and apply the PANIC procedure to obtain the de-factored data. We then estimate the lag augmented (LA)-VAR model for each cross section and construct the panel statistics based on the meta-analytic approach that combines the p-values of the individual statistics. The Monte Carlo simulations indicate that the combination tests show good size and power properties and appear suitable for the panels where cross sections may have different unit root or co-integration properties. We finally re-investigate Granger causality between export and economic growth in OECD countries. The results shed light on the importance of accounting for cross-sectional dependence within a factor model framework in determining direction of Granger causality for country-specific analysis. The results further reveal that export and economic growth do not cause each other in the majority of the European Union countries.

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A panel cointegrating rank test with structural breaks and cross-sectional dependence

Arsova

Örsal

2021

Econometrics and Statistics

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Intersection tests for the cointegrating rank in dependent panel data

Cited by 3 publications

References 27 publications

Exchange rate pass-through to import prices in Europe: a panel cointegration approach

Exchange rate pass-through to import prices in Europe: a panel cointegration approach

Testing for Granger causality in heterogeneous panels with cross-sectional dependence

A panel cointegrating rank test with structural breaks and cross-sectional dependence

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