Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Arsova, Antonia; Örsal, Deniz Dilan Karaman

doi:10.1080/07474938.2016.1183070

Cited by 14 publications

(2 citation statements)

References 33 publications

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“…The approach is very similar to the time-trend approach adopted in econometrics (e.g. [42] , [43] , [44] , [45] ), where time (such as year 2020) is a variable itself in the analysis (i.e., 20 if the analysis started in 2000 and is yearly based). This also implies that we have two kind of variables that characterize each individual: these are variables that differ in time (as mentioned above) and variables that do not change in time, just for each municipality (like population, density and so on).…”

Section: Methodsmentioning

confidence: 99%

A causal framework to determine the effectiveness of dynamic quarantine policy to mitigate COVID-19

Kristjanpoller

Michell

Minutolo

2021

Applied Soft Computing

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Since the start of the pandemic caused by the novel coronavirus, COVID-19, more than 106 million people have been infected and global deaths have surpassed 2.4 million. In Chile, the government restricted the activities and movement of people, organizations, and companies, under the concept of dynamic quarantine across municipalities for a predefined period of time. Chile is an interesting context to study because reports to have a higher quantity of infections per million people as well as a higher number of polymerise chain reaction (PCR) tests per million people. The higher testing rate means that Chile has good measurement of the contagious compared to other countries. Further, the heterogeneity of the social, economic, and demographic variables collected of each Chilean municipality provides a robust set of control data to better explain the contagious rate for each city. In this paper, we propose a framework to determine the effectiveness of the dynamic quarantine policy by analyzing different causal models (meta-learners and causal forest) including a time series pattern related to effective reproductive number. Additionally, we test the ability of the proposed framework to understand and explain the spread over benchmark traditional models and to interpret the Shapley Additive Explanations (SHAP) plots. The conclusions derived from the proposed framework provide important scientific information for government policymakers in disease control strategies, not only to analyze COVID-19 but to have a better model to determine social interventions for future outbreaks.

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Section: Methodsmentioning

confidence: 99%

A causal framework to determine the effectiveness of dynamic quarantine policy to mitigate COVID-19

Kristjanpoller

Michell

Minutolo

2021

Applied Soft Computing

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“…Next, the cointegration properties of the idiosyncratic components are examined by the PSL J def test of Arsova and Örsal (2018) and the P * −1 test of Örsal and Arsova (2017). The first test computes the panel test statistic as the standardized average of the individual LR trace statistics of Saikkonen and Lutkepohl (2000) computed from defactored data, while the second one combines the p values of these statistics by the inverse normal method.…”

Section: Analysis Of the Unobserved Common And Idiosyncratic Componentsmentioning

confidence: 99%

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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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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Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Cited by 14 publications

References 33 publications

A causal framework to determine the effectiveness of dynamic quarantine policy to mitigate COVID-19

A causal framework to determine the effectiveness of dynamic quarantine policy to mitigate COVID-19

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

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

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