A note on the examination of the fisher hypothesis by using panel co-integration tests with break
Yükleniyor...
Dosyalar
Tarih
2016
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Institute foe Economic Forecasting
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
One problem encountered when examining the Fisher hypothesis is that various policy changes and economic shocks may induce structural shifts in the long-run relation. We explore the argument that panel cointegration tests based on common correlated effect estimators have reasonably good power and size properties, even in the presence of structural breaks, if the timing of structural shifts roughly coincide to each other across individual group members. Using the data from Omay et al. (2015), which pays special attention to cross-section dependence issue but ignores the possibility of structural break in the data, we provide support to the argument above.
Açıklama
Anahtar Kelimeler
Common correlated effect estimators, Cross section dependency, Fisher hypothesis, Panel cointegration with structural break, Sieve bootstrap
Kaynak
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
19
Sayı
2
Künye
Omay, T., Hasanov, M., Yüksel, A. & Yüksel, A. (2016). A note on the examination of the fisher hypothesis by using panel co-integration tests with break. Romanian Journal of Economic Forecasting, 19(2), 13-26.
