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Articles de revues sur le sujet « Pesaran »

Auteur : Grafiati

Publié le 4 juin 2021

Mis à jour le 7 février 2022

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1

Ditzen, Jan. "Estimating Dynamic Common-Correlated Effects in Stata." Stata Journal: Promoting communications on statistics and Stata 18, no. 3 (2018): 585–617. http://dx.doi.org/10.1177/1536867x1801800306.

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In this article, I introduce a new command, xtdcce2, that fits a dynamic common-correlated effects model with heterogeneous coefficients in a panel with a large number of observations over cross-sectional units and time periods. The estimation procedure mainly follows Chudik and Pesaran (2015b, Journal of Econometrics 188: 393–420) but additionally supports the common correlated effects estimator (Pesaran, 2006, Econometrica 74: 967–1012), the mean group estimator (Pesaran and Smith, 1995, Journal of Econometrics 68: 79–113), and the pooled mean group estimator (Pesaran, Shin, and Smith, 1999,

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Timmermann, Allan. "THE ET INTERVIEW: PROFESSOR HASHEM PESARAN." Econometric Theory 35, no. 4 (2018): 685–728. http://dx.doi.org/10.1017/s0266466618000336.

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Blackburne, Edward F., and Mark W. Frank. "Estimation of Nonstationary Heterogeneous Panels." Stata Journal: Promoting communications on statistics and Stata 7, no. 2 (2007): 197–208. http://dx.doi.org/10.1177/1536867x0700700204.

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We introduce a new Stata command, xtpmg, for estimating nonstationary heterogeneous panels in which the number of groups and number of time-series observations are both large. Based on recent advances in the nonstationary panel literature, xtpmg provides three alternative estimators: a traditional fixed-effects estimator, the mean-group estimator of Pesaran and Smith (Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics 68: 79–113), and the pooled mean-group estimator of Pesaran, Shin, and Smith (Estimating long-run relationships in dynamic heterogeneous

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Tagliabue, Giovanna. "A Note on the Relation between Government Expenditure and Receipts in Italy: A Quarterly Analysis." Journal of Public Finance and Public Choice 21, no. 1 (2003): 63–79. http://dx.doi.org/10.1332/251569203x15665366543845.

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Abstract A precise knowledge of the relation between government expenditure and revenues may be useful to control budget deficits because, if there is interdependence, raising taxes to reduce deficits may lead directly to more spending. An effective manipulation of central government spending and tax revenues requires information on the direction of causality between these economic variables.The purpose of this paper is to investigate the relationship between government expenditure and receipts based on quarterly data, using the structural cointegration approach of Pesaran and Pesaran [1997].

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Durmaz, Nazif. "Industry level J-curve in Turkey." Journal of Economic Studies 42, no. 4 (2015): 689–706. http://dx.doi.org/10.1108/jes-08-2013-0122.

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Purpose – The purpose of this paper is to examine the J-Curve effect in Turkey at the industry level. Design/methodology/approach – In order to find the long-run and short-run effects, 58 industries (by Standard International Trade Classification Rev.3) have been identified by using monthly data that covers the periods from January 1990 to December 2012. Present study employs bounds testing procedure, developed by Pesaran and Shin (1999) and Pesaran et al. (2001). Findings – Although results indicate a positive satisfactory effect of real depreciation of lira in 13 industries, the J-Curve effe

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Börke Tunalı, Çiğdem, and Naci Tolga Saruç. "An Empirical Analysis on the Relationship between Health Care Expenditures and Economic Growth in the European Union Countries." European Journal of Medicine and Natural Sciences 2, no. 1 (2018): 12. http://dx.doi.org/10.26417/ejmn.v2i1.p12-17.

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This paper empirically investigates the relationship between health expenditure and economic growth in the European Union countries over the period 1995-2014. By using the Dumitrescu-Hurlin Test (Dumitrescu and Hurlin, 2012) which is developed to test Granger causality in panel datasets (Lopez and Weber, 2017), it is found that there is a unidirectional relationship between these variables and gross domestic product (GDP) per capita Granger causes health expenditure per capita. After determining the direction of the relationship between health expenditure per capita and GDP per capita we estim

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Binder, Michael, and M. Hashem Pesaran. "Multivariate Linear Rational Expectations Models." Econometric Theory 13, no. 6 (1997): 877–88. http://dx.doi.org/10.1017/s0266466600006307.

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This paper considers the solution of multivariate linear rational expectations models. It is described how all possible classes of solutions (namely, the unique stable solution, multiple stable solutions, and the case where no stable solution exists) of such models can be characterized using the quadratic determinantal equation (QDE) method of Binder and Pesaran (1995, in M.H. Pesaran & M. Wickens [eds.], Handbook of Applied Econometrics: Macroeconomics, pp. 139–187. Oxford: Basil Blackwell). To this end, some further theoretical results regarding the QDE method expanding on previous work

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Ghorbani, M., and M. Motallebi. "Application Pesaran and Shin Method for Estimating Irans` Import Demand Function." Journal of Applied Sciences 9, no. 6 (2009): 1175–79. http://dx.doi.org/10.3923/jas.2009.1175.1179.

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Furuoka, Fumitaka. "Unemployment hysteresis in the “Nordic Kitten”: Evidence from five Estonian regions." Panoeconomicus 62, no. 5 (2015): 631–42. http://dx.doi.org/10.2298/pan1505631f.

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Unemployment hysteresis is a much discussed and researched topic in macroeconomics. The present paper examined unemployment hysteresis in five Estonian regions. It used two panel data methods, namely, the Im-Pesaran-Shin (IPS) test and the Fourier Im-Pesaran-Shin (FIPS) test. The originality and value of this paper is that this is the first study that uses the panel unit root tests to examine unemployment dynamics in the Estonian regions. The findings revealed that the unemployment rates in the Estonian regions could be best described as a stationary process. This result is in line with the na

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Bese, Emrah, and Haven Swint Friday. "The Effect of the Kyoto Protocol on Developed and Developing Countries." Australian Journal of Business and Management Research 6, no. 1 (2021): 43–59. http://dx.doi.org/10.52283/nswrca.ajbmr.20210601a04.

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In this study, the relationship between income and environmental degradation is discussed. In this study, the Kyoto Protocol is investigated by using Pooled Mean Group Estimator based on Error Correction Model by Pesaran, Shin and Smith, Cross-Sectional Augmented Distributed Lag estimator by Chudik et al. (2016), Cross-Sectional ARDL estimator based on ARDL model by Chudik et al. (2016) and Dynamic Common Correlated Effects Estimator model by Chudik and Pesaran (2015) to cover the gaps in the Environmental Kuznets Curve literature. Kyoto Protocol’s effects for developing countries and develope

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Ontaneda Jiménez, Diego. "La ley de Okun en Ecuador. Un análisis de cointegración, 2007-2019." INNOVA Research Journal 5, no. 3 (2020): 209–32. http://dx.doi.org/10.33890/innova.v5.n3.2020.1436.

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El estudio analiza la ley de Okun para Ecuador durante 2007.I-2019.IV con dos metodologías de cointegración, el método de Johansen & Juselius (1990) y el enfoque Autorregresivo de Rezago Distribuido (ARDL) propuesto por Pesaran & Shin (1995) y Pesaran, Shin & Smith (2001) . Los resultados empíricos indican que en el largo plazo el desempleo tiene un efecto negativo, estadísticamente significativo sobre la producción. El análisis de cointegración señala que un punto porcentual adicional en la tasa de desempleo disminuye la producción en 2.06% en el caso del enfoque de Johansen &

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HA, NGUYEN MINH, BUI HOANG NGOC, and MICHAEL MCALEER. "FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM." Annals of Financial Economics 15, no. 03 (2020): 2050010. http://dx.doi.org/10.1142/s2010495220500104.

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The paper investigates the impact of financial integration and energy consumption on economic growth in Vietnam during the period 1986–2017. By applying the Autoregressive Distributed Lag ARDL) approach proposed by Pesaran et al. [Pesaran, MH, Y Shin and RJ Smith (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.] and the bounds cointegration test, the empirical results show the existence of long-term cointegration among all the variables, and that an increase in financial integration leads to an increase in economic growt

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13

Collard, David. "M. H. Pesaran. The Limits to Rational Expectations. Oxford, Basil Blackwell. 1987." Journal of Public Policy 9, no. 2 (1989): 226–27. http://dx.doi.org/10.1017/s0143814x00008187.

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Wickens, M. R. "The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987." Econometric Theory 6, no. 1 (1990): 103–6. http://dx.doi.org/10.1017/s0266466600004941.

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Gómez, Mario, and José Rodríguez. "Energy Consumption and Financial Development in NAFTA Countries, 1971–2015." Applied Sciences 9, no. 2 (2019): 302. http://dx.doi.org/10.3390/app9020302.

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To satisfy human needs and desires, it is necessary to produce goods and services that require the use of some production factors, such as labor, capital, and energy, among others. Nowadays, energy is a key production factor for economic activity in all countries. The main objective of this paper is to analyze the relationship between energy, economic growth, urbanization, and financial development in the country-members of the North American Free Trade Agreement (NAFTA) during the period of 1971–2015. Panel data Econometric methods are applied in this research, namely cross-section dependence

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Jaidane-Mazigh, Lamia, Islem Khefacha, and Aymen Chamakh. "An empirical analysis of terrorism impact on public debt: A dynamic heterogeneous panel approach." New Trends and Issues Proceedings on Humanities and Social Sciences 6, no. 8 (2019): 11–20. http://dx.doi.org/10.18844/prosoc.v6i8.4454.

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The increase in the frequency of terrorist attacks and the availability of data has enhanced the interest of economists in analysing this phenomenon and studying its impact on the economy. Besides the loss of lives, terrorism can seriously strain public finance. Indeed, these events promote the increase of national security expenditures which leads either to the reallocation of public resources with a fall in productive investment or to an increase in the sovereign debt. Furthermore, terrorist attacks affect financial markets and lead risk premium escalation, thus increasing government borrowi

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Falianty, Telisa Aulia. "Tinjauan terhadap Metode Ekonometrika Lanjutan." Jurnal Ekonomi dan Pembangunan Indonesia 4, no. 1 (2003): 59–74. http://dx.doi.org/10.21002/jepi.v4i1.133.

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Econometric models have been played an increasingly important role in empirical analysis in economics. This paper provides an overview on some advanced econometric methods that increasingly used in empirical studies.A panel data combines features of both time series and cross section data. Because of increasing availability of panel data in economic sciences, panel data regression models are being increasingly used by researcher. Related to panel data model, there are some methods that will be discussed here such as fixed effect and random effect. A new approach to panel data that developed by

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Akinwalere, Susan Nwadinachi. "The Impact of Foreign Direct Investment on the Utilisation of Natural Resources in Nigeria." BORDER CROSSING 8, no. 2 (2018): 433–54. http://dx.doi.org/10.33182/bc.v8i2.605.

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The purpose of this article is to examine the impact of FDI on the utilization of natural resources in Nigeria. This article uses annual data from 1970 to 2015 and employs the Autoregressive Distributed Lag (ARDL) bounds testing approach to cointegration, a testing procedure for level relationships developed by Pesaran and Shin (1999) and Pesaran et al. (2001). The ARDL cointegration approach examines the long-run relationship between FDI and natural resources on one hand and GDP on the other hand. The empirical results indicate that aggregate FDI has a positive and statistically significant i

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Yap, Kok Wooi, and Doris Padmini Selvaratnam. "Empirical analysis of factors influencing the public health expenditure in Malaysia." Journal of Emerging Economies and Islamic Research 6, no. 3 (2018): 1. http://dx.doi.org/10.24191/jeeir.v6i3.8783.

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This study aims to investigate the determinants of public health expenditure in Malaysia. An Autoregressive Distributed Lag (ARDL) approach proposed by Pesaran & Shin (1999) and Pesaran et al. (2001) is applied to analyse annual time series data during the period from 1970 to 2017. The study focused on four explanatory variables, namely per capita gross domestic product (GDP), healthcare price index, population aged 65 years and above, as well as infant mortality rate. The bounds test results showed that the public health expenditure and its determinants are cointegrated. The empirical res

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20

Bastos, Felipe Sousa, and Roberto Tatiwa Ferreira. "Agregação de dinâmicas heterogêneas, acurácia da meia-vida e o enigma da PPC: evidência para cidades brasileiras." Estudos Econômicos (São Paulo) 50, no. 2 (2020): 321–50. http://dx.doi.org/10.1590/0101-41615025fbr.

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Resumo O enigma da PPC é apontado como um dos seis mais importantes puzzles da macroeconomia internacional. IMRR (2005a) apontam o viés de agregação de preços com dinâmica de ajuste heterogêneo como solução para o enigma. Este trabalho averigua se esse resultado é suportado para dados de cidades brasileiras utilizando-se o estimador CCEMG dinâmico, proposto por Chudik e Pesaran (2015), com correção half-panel jackknife para o viés do estimador OLS em amostra pequena. Os resultados corroboram a evidência de IMRR (2005a), com uma meia-vida mediana de 13,5 meses.

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Kripfganz, Sebastian. "Quasi–maximum Likelihood Estimation of Linear Dynamic Short-T panel-data Models." Stata Journal: Promoting communications on statistics and Stata 16, no. 4 (2016): 1013–38. http://dx.doi.org/10.1177/1536867x1601600411.

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In this article, I describe the xtdpdqml command for the quasi–maximum likelihood estimation of linear dynamic panel-data models when the time horizon is short and the number of cross-sectional units is large. Based on the theoretical groundwork by Bhargava and Sargan (1983, Econometrica 51: 1635–1659) and Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107–150), the marginal distribution of the initial observations is modeled as a function of the observed variables to circumvent a short- T dynamic panel-data bias. Both random-effects and fixed-effects versions are availab

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Kim, Dong-Hyeon, and Shu-Chin Lin. "DYNAMIC RELATIONSHIP BETWEEN INFLATION AND FINANCIAL DEVELOPMENT." Macroeconomic Dynamics 14, no. 3 (2010): 343–64. http://dx.doi.org/10.1017/s1365100509090312.

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This paper studies the long- and short-run relationships between inflation and financial development. Applying the Pooled Mean Group estimator of Pesaran, Shin, and Smith (1999, Journal of the American Statistical Association 94, 621–634) to unbalanced panel data for 87 countries over the period 1960–2005, we find that a negative long-run relationship between inflation and financial development coexists with a positive short-run relationship. However, when the data are split into different income or inflation groups, these results can be observed only in low-income or low-inflation economies.

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Bigirimana, Moïse, and Xu Hongyi. "Research on Relationship between Financial Inclusion and Economic Growth of Rwanda: Evidence from Commercial Banks with ARDL Approach." INTERNATIONAL JOURNAL OF INNOVATION AND ECONOMIC DEVELOPMENT 4, no. 1 (2018): 7–18. http://dx.doi.org/10.18775/ijied.1849-7551-7020.2015.41.2001.

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This study examines the relationship between financial inclusion and economic growth of Rwanda using annual data from 2004 to 2016. We used ARDL as it is a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary as developed by Pesaran. The results of our study revealed that there is long-run relationship between financial inclusion and economic growth of Rwanda.

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Adamu, Fahad, and Ergun Dogan. "Trade openness and industrial growth: Evidence from Nigeria." Panoeconomicus 64, no. 3 (2017): 297–314. http://dx.doi.org/10.2298/pan150130029a.

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This study examines the long-run and short-run relationship between industrial production and trade openness in Nigeria during the period from 1986 to 2008 by using quarterly data. It employs the ARDL bounds testing methodology developed by M. Hashem Pesaran, Yongcheol Shin, and Richard J. Smith (2001). The results of both the long-run analysis and the short-run error correction model (ECM) indicate that trade openness has a significant and positive impact on industrial production. The Toda-Yamamoto causality analysis shows that there is one-way Granger causality, running from trade openness t

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Alexiou, Constantinos, Persefoni Tsaliki, and Hashim Osman. "Institutional quality and economic growth: Empirical evidence from the Sudanese economy." Ekonomski anali 59, no. 203 (2014): 119–37. http://dx.doi.org/10.2298/eka1403119a.

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This study aims to explore the extent to which conventional methods used in the majority of relevant growth studies can successfully interpret the economic performance of a highly underdeveloped African country such as Sudan. Applying an ARDL boundstesting approach to cointegration proposed by Pesaran et al. (2001), we look into the short-run as well as long-run relationships between institutional and various other key economic variables and economic growth over the period 1972-2008. The empirical results obtained suggest that, for the Sudanese economy, the quality of the institutional environ

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Ortiz, Alma Lucero, José Carlos Rodríguez, and Mario Gómez. "E-commerce Development in Europe: A Panel Data Analysis 2003–2017." E+M Ekonomie a Management 23, no. 4 (2020): 89–101. http://dx.doi.org/10.15240/tul/001/2020-4-006.

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The Internet is a networking infrastructure that allows people’s communication throughout the world, transcending time and space limits. Nowadays, the Internet has changed the way of doing business, leading to a digital economy. Indeed, e-commerce has emerged as commercial transactions conducted over the Internet, which has become a source of economic growth for countries. In this sense, the research question conducting this research is as follows: what are the main variables that have affected the development of e-commerce in European countries from 2003 to 2017? In so doing, panel data econo

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Jordan, Soren, and Andrew Q. Philips. "Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models." Stata Journal: Promoting communications on statistics and Stata 18, no. 4 (2018): 902–23. http://dx.doi.org/10.1177/1536867x1801800409.

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In this article, we introduce dynamac, a suite of commands designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models and in testing for cointegration. We discuss the bounds cointegration test proposed by Pesaran, Shin, and Smith (2001, Journal of Applied Econometrics 16: 289–326), which we have adapted into a command. Because the resulting models can be dynamically complex, we follow the advice of Philips (2018, American Journal of Political Science 62: 230–244) by introducing a flexible command designed to dynamically simulate and plot a variety

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Silva, Cristiano da Costa da, Natanael Soares Leite, Felipe de Sousa Bastos, and Frankielison Maia. "Efeitos de curto e longo prazo das despesas públicas e das suas componentes sobre a renda dos estados brasileiros no período 1986-2013." Economia Aplicada 24, no. 4 (2020): 509–32. http://dx.doi.org/10.11606/1980-5330/ea157905.

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O estudo das relações de longo prazo entre os gastos públicos e o nível de renda é fundamental para auxiliar os formadores de políticas públicas na tomada de decisão, sobretudo quando a análise se concentra nas componentes do gasto. Adotou-se como estratégia econométrica a metodologia CS-ARDL-DFE, para os estados brasileiros no período 1986-2013, nos moldes sugeridos por Chudik & Pesaran (2015). Os resultados apontam que as despesas públicas exercem impacto positivo sobre o crescimento econômico de longo prazo, com as despesas de capital e de segurança reportando influência significativame

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Calsin Quispe, Giovana. "CURVA AMBIENTAL DE KUZNETS: EVIDENCIA EMPÍRICA PARA LA ECONOMÍA PERUANA, PERIODO 1972 - 2010." SEMESTRE ECONÓMICO 4, no. 2 (2018): 107–33. http://dx.doi.org/10.26867/seconomico.v4i2.118.

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El objetivo de esta investigación es determinar la existencia de la relación entre el crecimiento económico y el deterioro ambiental para la economía peruana 1970-2010. Para comprobarlo la hipótesis de la Curva Medioambiental (U-invertida) de Kuznets, se utilizó la técnica de cointegración de Johansen y de Pesaran, Shin y Smith. Se comprueba que existe una relación creciente y lineal entre las emisiones de dióxido de carbono (CO2) y dióxido de azufre (SO2) como indicadores de degradación ambiental con el Producto Bruto Interno per cápita, junto a las de apertura comercial, porcentaje de la pob

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Boğa, Semra. "Determinants of Foreign Direct Investment: A Panel Data Analysis for Sub-Saharan African Countries." EMAJ: Emerging Markets Journal 9, no. 1 (2019): 80–87. http://dx.doi.org/10.5195/emaj.2019.175.

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The aim of this study is to investigate the determinants of FDI inflows in Sub-Saharan African countries. In this study, panel data analysis was performed by using annual data from 23 countries for the period of 1975-2017. The Pesaran (2004) Cross-Section Dependence Test was performed to test correlation and IPS Unit Root Test was applied to reveal the stationary level between the units. Based on the PMG estimator results GDP growth, trade openness, domestic credit, natural resources and telecommunication infrastructure are all found to be the determinants of FDI inflows in Sub-Saharan countri

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Dumičić, Ksenija, Josip Mikulić, and Anita Čeh Časni. "Tourism spending behaviour before and after the 2008 financial crisis." Tourism Economics 23, no. 1 (2016): 223–28. http://dx.doi.org/10.5367/te.2015.0528.

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This research note analyses the long-run and short-run relationships between tourism expenditure, income and transportation costs based on quarterly data for European countries spanning the period from 1996Q1 to 2014Q1. As the first macroeconomic study to explore how tourist spending behaviour potentially reacted to the 2008 financial crisis, this article uses the heterogeneous panel data technique of Pesaran et al. The results of this pilot study reveal interesting differences in the long-run relationships between the examined variables before and after 2008Q3. Since this study uses a rather

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Chaabouni, Sami, and Chokri Abednnadher. "The Determinants of Health Expenditures in Tunisia." International Journal of Information Systems in the Service Sector 6, no. 4 (2014): 60–72. http://dx.doi.org/10.4018/ijisss.2014100104.

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This article examines the determinants of health expenditures in Tunisia during the period 1961-2008, using the Autoregressive Distributed Lag (ARDL) approach by Pesaran et al. (2001). The results of the bounds test show that there is a stable long-run relationship between per capita health expenditure, GDP, population ageing, medical density and environmental quality. In fact, on the one hand there are the short-run and long-run results which reveal that health care is a necessity, not a luxury good. On the other hand, results of the causality test show that there is a bidirectional causal fl

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Scott, Alasdair. "Global and National Macroeconometric Modelling - by Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin." Economic Record 84, no. 265 (2008): 276–77. http://dx.doi.org/10.1111/j.1475-4932.2008.00470.x.

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Ziramba, Emmanuel. "Aggregate Outbound Tourism Demand in South Africa: an Econometric Analysis." Journal of Economics and Behavioral Studies 5, no. 5 (2013): 260–67. http://dx.doi.org/10.22610/jebs.v5i5.402.

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This paper, with the use of annual data covering the period 1975 to 2008, seeks to identify the determinants of outbound tourism demand (outbound tourist outflows) in South Africa. We employ cointegration analysis by utilising an autoregressive distributed lag (ARDL) approach proposed by Pesaran et al. (2001) to make inferences about the long run and short run relationships. The results indicate that in the long run, outbound tourism demand is influenced by the real domestic income and the relative prices. Our results indicate that outbound tourism demand is a luxury good with an income elasti

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Coulibaly, Daouda, and Fulgence Zran Goueu. "An Empirical Analysis of the Link between Economic Growth and Exports in Côte d’Ivoire." International Business Research 12, no. 9 (2019): 94. http://dx.doi.org/10.5539/ibr.v12n9p94.

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This paper aims to analyze the relationship between exports and economic growth in C&ocirc;te d&rsquo;Ivoire. In order to achieve this objective, annual data for the period 1960-2017 were tested by using the cointegration approach of Pesaran, Shin and Smith, including the causality test of Breitung and Schreiber. According to our analysis it is only exports that drive economic growth and not the opposite. Exports act positively and significantly on economic growth in the short term as well as in the long term. The causality test of Breitung and schreiber indicates a one-way long-run ca

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Harris, David, David I. Harvey, Stephen J. Leybourne, and Nikolaos D. Sakkas. "LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS." Econometric Theory 26, no. 1 (2009): 311–24. http://dx.doi.org/10.1017/s0266466609090768.

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In this note we derive the local asymptotic power function of the standardized averaged Dickey–Fuller panel unit root statistic of Im, Pesaran, and Shin (2003, Journal of Econometrics, 115, 53–74), allowing for heterogeneous deterministic intercept terms. We consider the situation where the deviation of the initial observation from the underlying intercept term in each individual time series may not be asymptotically negligible. We find that power decreases monotonically as the magnitude of the initial conditions increases, in direct contrast to what is usually observed in the univariate case.

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Chen, Jia, Jiti Gao, and Degui Li. "A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS." Econometric Theory 28, no. 5 (2012): 1144–63. http://dx.doi.org/10.1017/s0266466612000072.

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In this paper, we propose a new diagnostic test for residual cross-section uncorrelatedness (CU) in a nonparametric panel data model. The proposed nonparametric CU test is a nonparametric counterpart of an existing parametric cross-section dependence test proposed in Pesaran (2004, Cambridge Working paper in Economics 0435). Without assuming cross-section independence, we establish asymptotic distribution for the proposed test statistic for the case where both the cross-section dimension and the time dimension go to infinity simultaneously, and then analyze the power function of the proposed t

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CHOONG, CHEE-KEONG, ZULKORNAIN YUSOP, and SIEW-CHOO SOO. "FOREIGN DIRECT INVESTMENT AND ECONOMIC GROWTH IN MALAYSIA: THE ROLE OF DOMESTIC FINANCIAL SECTOR." Singapore Economic Review 50, no. 02 (2005): 245–68. http://dx.doi.org/10.1142/s0217590805001998.

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This study aims to incorporate the role of domestic financial system in transferring the technological diffusion embodied in FDI inflows on the Malaysian economy from 1970–2001. Applying bound test, or unrestricted error correction model (UECM) proposed by Pesaran et al. (2001), the presence of FDI inflows creates a positive technological diffusion in both short- and long-run if the evolution of domestic financial system has achieved a certain minimum level. This implies that the improvement of technology level in Malaysia in the long run is due to the spillover efficiency effects from FDI. He

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Gligoric, Mirjana. "Paths of income convergence between country pairs within Europe." Ekonomski anali 59, no. 201 (2014): 123–55. http://dx.doi.org/10.2298/eka1401123g.

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This paper explores income convergence in European countries. Unlike previous research, the analysis is based on the pair-wise approach (Pesaran, 2007), identifying four cases: long-run convergence, catching-up, lagging-behind, and divergence. The results suggest that catching-up prevails, while no significant evidence was found for the existence of long-run convergence at the whole sample level. Still, three convergence clubs appear that consist of countries recording long-run convergence, two in transitional countries and one involving advanced countries, which indicate the similar growth mo

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Hasan, Arshad, and Zafar Mueen Nasir. "Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach." Pakistan Development Review 47, no. 4II (2008): 501–13. http://dx.doi.org/10.30541/v47i4iipp.501-513.

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The relationship between macroeconomic variables and the equity prices has attracted the curiosity of academicians and practitioners since the publication of seminal paper of Chen, et al. (1986). Many empirical studies those tested the relationship reveal that asset pricing theories do not properly identify macroeconomic factors that influence equity prices [Roll and Ross (1980); Fama (1981); Chen, et al. (1986); Hamao (1986); Faff (1988); Chen (1991); Maysami and Koh (2000) and Paul and Mallik (2001)]. In most of these studies, variable selection and empirical analyses is based on economic ra

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Lee, Koon Nam Henry. "Residential property price-stock price nexus in Hong Kong: new evidence from ARDL bounds test." International Journal of Housing Markets and Analysis 10, no. 2 (2017): 204–20. http://dx.doi.org/10.1108/ijhma-03-2016-0020.

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Purpose This study aims to investigate the cointegration and causality relationships between Hong Kong’s residential property price and stock price, using quarterly data, from the 1st quarter of 1980 to the 3rd quarter of 2015. Design/methodology/approach In contrast to other studies, the cointegration test used is the autoregressive distributed lag (ARDL) cointegration (bounds testing) approach of Pesaran et al. (2001) that based on the estimation of an unrestricted error correction model and the causality test is based on non-causality test of Granger et al. (2000). Moreover, this research e

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Mukhopadhyay, Bidisha. "Structural breaks in finance growth nexus: the study of Indonesia." Journal of Economics and Behavioral Studies 1, no. 1 (2011): 1–6. http://dx.doi.org/10.22610/jebs.v1i1.215.

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This paper empirically investigates the finance-growth nexus for an annual data set of Indonesia during the last two decades. The purpose is to examine the causal relationship between financial development and economic growth in Indonesia and also to test the structural breaks in the finance-growth relationship to investigate the change in policy regimes. To examine the causal relationship between financial development and economic growth, the newly proposed ARDL bound testing approach by Pesaran et al. (1996) has been applied .The estimated results support the view of Lucas (1988) that financ

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Gray, David. "An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality." Urban Studies 55, no. 10 (2017): 2286–99. http://dx.doi.org/10.1177/0042098017710381.

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Using a Pesaran-Timmermann test of co-movement, Cook and Watson (Cook S and Watson D, 2015, A new perspective on the ripple effect in the UK housing market: Co-movement, cyclical subsamples and alternative indices. Urban Studies 53(14): 3048–3062) suggest they have highlighted the ‘ripple’ effect. Using reference series of the UK, London, Scotland and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic

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MALLICK, HRUSHIKESH, and SHASHI AGARWAL. "IMPACT OF REAL INTEREST RATES ON REAL OUTPUT GROWTH IN INDIA: A LONG-RUN ANALYSIS IN A LIBERALIZED FINANCIAL REGIME." Singapore Economic Review 52, no. 02 (2007): 215–31. http://dx.doi.org/10.1142/s021759080700266x.

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The study attempts to evaluate the impact of short-term real interest rate on growth rate in India in a liberalized financial and trade regime (March 1993 to March 2005). Using ARDL approach to cointegration of Pesaran and Shin (1999), the study finds that interest rate does not have a direct impact; rather, it may have an indirect and adverse impact on growth rate through the transmission channel of bank credit, thereby neither supporting the arguments advocated by Keynesians nor the explanations offered by the proponents of Financial Liberalization School. This incredible result may be attri

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Kyophilavong, Phouphet, John Luke Gallup, Teerawat Charoenrat, and Kenji Nozaki. "Testing tourism-led growth hypothesis in Laos?" Tourism Review 73, no. 2 (2018): 242–51. http://dx.doi.org/10.1108/tr-03-2017-0034.

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Purpose The purpose of this paper is to investigate the tourism-led growth hypothesis in Laos. Design/methodology/approach The authors test the tourism-led growth hypothesis using autoregressive distributed lag (ARDL) cointegration estimation (Pesaran et al., 2001) and Granger causality tests. Findings The results of this paper show that when tourism is forcing variable, there is no long-run relationship between tourism development and economic growth. The Granger causality test demonstrates that there is a uni-directional causality running from economic growth in tourism. Social implications

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Mansur M. Masih, A., and Trent Winduss. "Who Leads the Australian Interest Rates in the Short and Long Run? An Application of Long Run Structural Modelling." Review of Pacific Basin Financial Markets and Policies 09, no. 01 (2006): 1–24. http://dx.doi.org/10.1142/s0219091506000628.

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The focus of this paper is to test the cointegrating and Granger-causal relationships between Australian short-run interest rate securities and those of the UK, US, Japan, Hong Kong, Singapore and New Zealand. A relatively new methodology known as Long Run Structural Model (LRSM) (Pesaran and Shin, 2002) followed by vector error-correction model, generalized variance decompositions, generalized impulse response, and persistence profile have been used. The findings tend to suggest that Australia's short-term interest rates are cointegrated with those of its major trading partners. The results o

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Bersvendsen, Tore, and Jan Ditzen. "Testing for slope heterogeneity in Stata." Stata Journal: Promoting communications on statistics and Stata 21, no. 1 (2021): 51–80. http://dx.doi.org/10.1177/1536867x211000004.

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In this article, we introduce a new community-contributed command, xthst, to test for slope heterogeneity in panels with many observations over cross-sectional units and time periods. The command implements such a test, the delta test (Pesaran and Yamagata, 2008, Journal of Econometrics 142: 50–93). Under its null, slope coefficients are homogeneous across cross-sectional units. Under the alternative, slope coefficients are heterogeneous in the cross-sectional dimension. xthst also includes two extensions. The first is a heteroskedasticity- and autocorrelation-consistent robust test along the

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ARETA MARIGÓ, GEMA. "Leonardo Padura: a pesar de todos los pesares. Presentación." Philologia hispalensis 2, no. 30 (2016): 7–8. http://dx.doi.org/10.12795/ph.2016.i30.16.

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Fernandez, Rodrigo Nobre, Claudio Shikida, Gabrielito Rauter Menezes, and Rafael Henrique Martins de Almeida. "Análise dos Efeitos Crowding-in e Crowding-out para a Economia Brasileira." SINERGIA - Revista do Instituto de Ciências Econômicas, Administrativas e Contábeis 21, no. 2 (2018): 71–80. http://dx.doi.org/10.17648/sinergia-2236-7608-v21n2-7349.

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O presente trabalho tem como objetivo testar um modelo econométrico que descreva o efeito deslocamento (crowding-out) durante o período de 1995-2014. Para realizarmos tal tarefa utilizarmos o método de Pesaran e Shin (1999, 2001) para estimarmos um modelo ARDL (Autoregressive with Distributed Lags) e efetuarmos o teste de limites (bounds test). Essa metodologia é adequada para pequenas amostras e é flexível para interagir com variáveis de diferentes ordens de integração. Nossos resultados indicam uma relação positiva entre consumo do governo e investimento privado. Nesse sentido, reconhecer es

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Bhatta, Siddha Raj. "Stability of Money Demand Function in Nepal." Banking Journal 3, no. 1 (2013): 1–27. http://dx.doi.org/10.3126/bj.v3i1.7508.

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This paper examines the long-run stability issue of money demand function in Nepal using the annual data set of 1975-2009 by using the recently developed ARDL modelling to cointegration popularized by Pesaran and Shin (1999). The bounds test shows that there exists the long-run cointegrating relationship among demand for real money balances, real GDP, and interest rate in case of both narrow and broad monetary aggregates. Further, the CUSUM and CUSUMSQ test reveal that both the long-run narrow and broad money demand functions are stable. The results show that demand for money balance in Nepal

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