Multivariate panel models: some new results and their application to the analysis of economic growth
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2008
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 152 S. graph. Darst. 21 cm |
Internformat
MARC
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| 100 | 1 | |a Bröck, Susanne |d 1976- |e Verfasser |0 (DE-588)137105584 |4 aut | |
| 245 | 1 | 0 | |a Multivariate panel models |b some new results and their application to the analysis of economic growth |c vorgelegt von Susanne Bröck |
| 264 | 1 | |c 2008 | |
| 300 | |a XIII, 152 S. |b graph. Darst. |c 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2008 | ||
| 650 | 7 | |a Investition |2 stw | |
| 650 | 7 | |a Multivariate Analyse |2 stw | |
| 650 | 7 | |a Panel |2 stw | |
| 650 | 7 | |a Schätzung |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Vektor-autoregressives Modell |2 swd | |
| 650 | 7 | |a Welt |2 stw | |
| 650 | 7 | |a Wirtschaftswachstum |2 stw | |
| 650 | 7 | |a Wirtschaftswachstum |2 swd | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-017558996 | ||
Datensatz im Suchindex
| _version_ | 1804139122480119808 |
|---|---|
| adam_text | Titel: Multivariate panel models
Autor: Bröck, Susanne
Jahr: 2008
Contents
List of Figures IX
List of Tables XI
Preface 1
1 Estimation of and Hypothesis Testing in Heterogeneous PVAR
Models under Cross-Sectional Dependence 8
1.1 Introduction................................ 8
1.2 A Panel VAR Model Under Cross-Sectional Heterogeneity and Cross-
Sectional Dependence........................... 11
1.2.1 Model Setup............................ 11
1.2.2 Estimating the Model ...................... 14
1.2.2.1 Mean Group and Pooled Mean Group Estimation
under Cross-Sectional Independence ......... 15
1.2.2.2 Mean Group and Pooled Mean Group Estimation
under Cross-Sectional Dependence.......... 17
1.3 Testing for Cointegration in Cross-Sectionally Dependent Panels ... 20
1.3.1 Testing for Cointegration under the CEA-Procedurc...... 21
1.3.2 Testing for Cointegration under the TS-CEA-Procedure .... 21
1.4 Monte Carlo Setup............................ 24
1.5 The Results for the Tests for Cointegration............... 26
V
VI Contents
1.5.1 Size Distortions of Traditional Tests............... 27
1.5.2 Small Sample Properties of the CEA Testing Procedure .... 28
1.5.3 Small Sample Properties of the TS-CEA Testing Procedure . . 32
1.6 The Results for the the Mean Group and Pooled Mean Group Esti-
mators ................................... 34
1.6.1 Small Sample Properties of the CEA Estimator........ 34
1.6.2 Small Sample Properties of the TS-CEA Estimator...... 35
1.7 Conclusions................................ 38
1.8 Appendix................................. 40
1.8.1 Maximum Likelihood Estimation in PVARs with Generated
Regressors.............................40
1.8.2 Standard Errors of the Long-Run Coefficients in PVARs with
Generated Regressors.......................46
1.8.2.1 Individual Specific Standard Errors..........46
1.8.2.2 Standard Errors of the Pooled Mean Group Estimators 46
1.8.3 Panel Cointegration Tests: Critical Values and Small Sample
Properties............................. 49
1.8.4 Bias, RMSE and Power Properties of the Mean Group and
Pooled Mean Group Estimators................. 50
1.8.4.1 The CEA Estimators.................. 50
1.8.4.2 The TS-CEA Estimators................ 53
1.8.5 Mean and Variance Correction Factors and Critical Values for
the Cointegration Tests...................... 55
1.9 References................................. 57
2 On the Relation between Investment and Economic Growth: New
Cross-Country Empirical Evidence 61
2.1 Introduction................................61
Contents VII
2.2 A Panel VAR Model in the Presence of Systematic Cross-Sectional
Heterogeneity and Cross-Sectional Dependence............. 64
2.3 Estimation of PVAR Models with Cross-Sectional Independence ... 68
2.3.1 The Mean Group Estimator................... 69
2.3.2 Pooled Mean Group Estimation................. 70
2.4 Estimation of PVAR. Models with Cross-Sectional Dependence .... 72
2.5 Hypothesis Testing in PVAR Models.................. 76
2.5.1 Panel Unit Root Tests...................... 76
2.5.1.1 Panel Unit Root Tests Assuming Cross-Sectional In-
dependence ....................... 76
2.5.1.2 Panel Unit Root Tests in the Presence of Cross-
Sectional Dependence ................. 77
2.5.2 Tests for Cointegration...................... 78
2.5.2.1 Tests for Cointegration Assuming Cross-Sectional
Independence ...................... 78
2.5.2.2 Tests for Cointegration in the Presence of Cross-
Sectional Dependence ................. 79
2.5.3 Testing the Homogeneity Assumption.............. 81
2.5.4 Testing for Cross-Sectional Independence............ 81
2.5.5 Testing the Weak Exogeneity Restriction............ 82
2.5.6 Impulse Responses and Persistence Profiles........... 83
2.6 Determinants of Output Growth..................... 84
2.6.1 Model Specification and Data.................. 84
2.6.2 Revisiting Blomstrom, Lipsey and Zejan............ 85
2.6.3 Estimation and Hypothesis Testing Results........... 85
2.7 Conclusion................................. 89
2.8 Appendix................................. 91
VIII______________________________________________________Contents
2.8.1 Tables on Impulse Responses ..................97
2.8.2 Graphics on Impulse Responses.................103
2.9 References.................................Ill
3 Likelihood Based Panel Analysis of Growth Models 115
3.1 Introduction................................115
3.2 Model Specification and Estimation...................116
3.2.1 Homogeneous Time Trends....................117
3.2.1.1 Standard GMM Estimation..............118
3.2.1.2 Extended GMM Estimation..............119
3.2.1.3 Quasi Maximum Likelihood Estimation .......120
3.2.2 Heterogeneous Time Trends...................123
3.2.2.1 Standard GMM Estimation..............124
3.2.2.2 Extended GMM Estimation..............125
3.2.2.3 Quasi Maximum Likelihood Estimation .......126
3.3 Empirical Evidence............................129
3.3.1 Data................................129
3.3.2 Results...............................130
3.4 Monte Carlo Simulation .........................133
3.4.1 Setup ...............................133
3.4.2 Results...............................134
3.5 Conclusion.................................13C
3.6 Appendix.................................138
3.6.1 Tables on the Empirical Results.................138
3.6.2 Tables on the Monte Carlo Results...............142
3.7 References.................................146
List of Figures
2.1 Impulse Responses for the Full Sample.................104
2.2 Impulse Responses for the OECD....................105
2.3 Impulse Responses for Europe......................106
2.4 Impulse Responses for the Latin American and Caribbean Countries . 107
2.5 Impulse Responses for the Sub-Saharan Countries...........108
2.6 Impulse Responses for the East Asian and Pacific Countries .....109
2.7 Sub-Regional Samples and Data Availability..............110
IX
List of Tables
1.1 Size of the LLL Cointegration Test Ignoring Low and High Cross-
Sectional Dependence........................... 28
1.2 Size and Power of the Xcea(T,N) Test under Low and High Cross-
Sectional Dependence...........................30
1.3 5% Critical Values for the q^a Test under Low and High Cross-
Sectional Dependence after TS-CEA Estimation............. 31
1.4 Size of the Xts-ceaCT, N) Test under Low and High Cross-Scctioual
Dependence................................. 32
1.5 Size of the ts-cea{T.N) Test under High Cross-Sectional Depen-
dence under the CEA Estimation Procedure...............33
1.6 Size of the MGcea Estimator Ignoring Cross-Sectional Dependence. . 34
1.7 Size of the MGcea and PMGcea Estimators under High Cross-
Sectional Dependence........................... 3G
1.8 Size of the MGts-cea and PMGts-cea Estimators under High
Cross-Sectional Dependence.......................37
1.9 Size of the LLL Test Applied after CEA and TS-CEA: High Cross-
Sectional Dependence...........................49
1.10 Size of the c~ea Test under High and Low Cross-Sectional Dependence. 49
1.11 Bias of the MGcea and PMGcea Estimators under High Cross-
Sectional Dependence...........................50
XI
XII _______________________________________List, of Tables
1.12 RMSE of the MGcea and PMGcea Estimators under High Cross-
Sectional Dependence........................... 51
1.13 Power of the MGCea and PMGcea Estimators under High Cross-
Sectional Dependence . .......................... 52
1.14 Bias of the MGTs-cea and PMGTs-cea Estimators under High
Cross-Sectional Dependence........................ 53
1.15 RMSE of the MGts-cea and PMGTs-cea Estimators under High
Cross-Sectional Dependence........................ 53
1.16 Power of the MGts-cea and PMGTs-cea Estimators under High
Cross-Sectional Dependence.......................54
1.17 Mean and Variance Correction Factors under Case FV.........55
1.18 5% Critical Values for the Xcea(T,N) Test under Case IV....... 56
2.1 Test for Cross-Sectional Dependence (Ho: Cross-Sectional Indepen-
dence).................................... 91
2.2 Effectiveness of Correlated Effects Augmentation: Average Cross-
Sectional Correlations...........................92
2.3 Panel Unit Root. Test (Ho: Unit Root Present)............. 93
2.4 Panel Cointegration Tests (Trace-Statistics for Cointegration Rank r). 93
2.5 Panel VECM Long-Run Coefficient on Investment per Capita..... 94
2.6 Likelihood-Ratio Test for Long-Run Exogeneity............. 95
2.7 Likelihood-Ratio and Hausman Test for Long-Run Coefficient Homo-
geneity. .................................. 96
2.8 Cumulative Effects of One-Standard Deviation Shocks: Full Sample
(90 Countries)...............................97
2.9 Cumulative Effects of One-Standard Deviation Shocks: 18 OECD
Countries..................................98
2.10 Cumulative Effects of One-Standard Deviation Shocks: 15 European
Countries.................................. 99
List of Tables________________________________________________________XIII
2.11 Cumulative Effects of One-Standard Deviation Shocks: 18 Latin
American and Caribbean Countries....................100
2.12 Cumulative Effects of One-Standard Deviation Shocks: 31
Sub-Saharan Countries...........................101
2.13 Cumulative Effects of One-Standard Deviation Shocks: 13 East Asian
and Pacific Countries...........................102
3.1 Estimation Results Assuming a Homogeneous Time Trend:
ARDL(1,1,0)-Specification.........................138
3.2 Estimation Results Assuming a Heterogeneous Time Trend:
ARDL(1,1,0)-Specification.........................139
3.3 Estimation Results Assuming a Homogeneous Time Trend:
ARDL(1,1,0,0)-Specification........................140
3.4 Estimation Results Assuming a Heterogeneous Time Trend:
ARDL(1,1,0,0)-Specification........................141
3.5 Bias of (j y under a Homogeneous Time Trend..............142
3.6 MSE of t v under a Homogeneous Time Trend..............143
3.7 Bias of / y under a Heterogeneous Time Trend..............144
3.8 MSE of 4 y under a Heterogeneous Time Trend.............145
|
| any_adam_object | 1 |
| author | Bröck, Susanne 1976- |
| author_GND | (DE-588)137105584 |
| author_facet | Bröck, Susanne 1976- |
| author_role | aut |
| author_sort | Bröck, Susanne 1976- |
| author_variant | s b sb |
| building | Verbundindex |
| bvnumber | BV035502803 |
| classification_rvk | QH 244 |
| ctrlnum | (OCoLC)314798113 (DE-599)DNB992569567 |
| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-09T21:39:04Z |
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| physical | XIII, 152 S. graph. Darst. 21 cm |
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| spelling | Bröck, Susanne 1976- Verfasser (DE-588)137105584 aut Multivariate panel models some new results and their application to the analysis of economic growth vorgelegt von Susanne Bröck 2008 XIII, 152 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2008 Investition stw Multivariate Analyse stw Panel stw Schätzung stw Theorie stw Vektor-autoregressives Modell swd Welt stw Wirtschaftswachstum stw Wirtschaftswachstum swd (DE-588)4113937-9 Hochschulschrift gnd-content HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017558996&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bröck, Susanne 1976- Multivariate panel models some new results and their application to the analysis of economic growth Investition stw Multivariate Analyse stw Panel stw Schätzung stw Theorie stw Vektor-autoregressives Modell swd Welt stw Wirtschaftswachstum stw Wirtschaftswachstum swd |
| subject_GND | (DE-588)4113937-9 |
| title | Multivariate panel models some new results and their application to the analysis of economic growth |
| title_auth | Multivariate panel models some new results and their application to the analysis of economic growth |
| title_exact_search | Multivariate panel models some new results and their application to the analysis of economic growth |
| title_full | Multivariate panel models some new results and their application to the analysis of economic growth vorgelegt von Susanne Bröck |
| title_fullStr | Multivariate panel models some new results and their application to the analysis of economic growth vorgelegt von Susanne Bröck |
| title_full_unstemmed | Multivariate panel models some new results and their application to the analysis of economic growth vorgelegt von Susanne Bröck |
| title_short | Multivariate panel models |
| title_sort | multivariate panel models some new results and their application to the analysis of economic growth |
| title_sub | some new results and their application to the analysis of economic growth |
| topic | Investition stw Multivariate Analyse stw Panel stw Schätzung stw Theorie stw Vektor-autoregressives Modell swd Welt stw Wirtschaftswachstum stw Wirtschaftswachstum swd |
| topic_facet | Investition Multivariate Analyse Panel Schätzung Theorie Vektor-autoregressives Modell Welt Wirtschaftswachstum Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017558996&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT brocksusanne multivariatepanelmodelssomenewresultsandtheirapplicationtotheanalysisofeconomicgrowth |