Browsing by Author "Örsal, Deniz Dilan Karaman"

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2007-05-18Diskussionspapier

Comparison of Panel Cointegration Tests

Örsal, Deniz Dilan Karaman

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study ...
2009-03-18Dissertation

Essays on panel cointegration testing

Örsal, Deniz Dilan Karaman

Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni ...
2009-02-20Diskussionspapier

On the Existence of the Moments of the Asymptotic Trace Statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd

In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe- gration rank in a vector autoregressive ...
2009-01-22Diskussionspapier

Panel Cointegration Testing in the Presence of a Time Trend

Droge, Bernd; Örsal, Deniz Dilan Karaman

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio (LR) test ...