Search results for " cross-section dependence"

showing 2 items of 2 documents

New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks

2006

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfillment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

Econometric methodsEconomicsEconometricsjel:F21jel:F32jel:C32Unit rootOecd countriesjel:C33Real interest rateParity (mathematics)Real interest rate parity economic integration panel data unit root tests structural breaks cross-section dependenceSSRN Electronic Journal
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The euro impact on trade. Long run evidence with structural breaks

2012

In this paper we present new evidence on the euro effect on trade. We use a data set containing all bilateral combinations in a panel of 26 OECD countries during the period 1967-2008. From a methodological point of view, we implement a new generation of tests that allow solving some of the problems derived from the non-stationary nature of the data. To this aim we apply panel tests that account for the presence of cross-section dependence as well as discontinuities in the non-stationary panel data. We test for cointegration between the variables using panel cointegration tests, especially the ones proposed by Banerjee and Carrióni- Silvestre (2010). We also efficiently estimate the long-run…

Gravity models; trade; panel cointegration; common factors; structural breaks; cross-section dependence.
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