Öz
Bu çalışmada heteroskedastik
hatalara sahip dinamik panel very modellerinde eğim homojenliğinin sınanması
ele alınmaktadır. Wild bootstrap yaklaşımının kullanımı ile Pesaran ve Yamagata
(2008) tarafından geliştirilen
yakınsamasının gerçekleşmesi incelenecektir. Simülasyon deneyleri wild
bootstrap
olduğunu göstermektedir.
Anahtar Kelimeler
Eğim homojenliğinin sınanması ∆ ̃_adj testi dinamik paneller wild bootstrap
Kaynakça
- Beran, R., 1986. Discussion of “Jackknife bootstrap and other resampling methods in regression analysis” by C.F.J. Wu. Ann. Statist. 14, 1295–1298.
- Giacomini R, Politis DN, White H. A Warp-Speed method for conducting Monte Carlo experiments involving bootstrap estimators. Econ Theory. 2013; 29:567–589.
- Liu, R.Y., 1988. Bootstrap procedure under some non-i.i.d. models. Ann. Statist. 16, 1696–1708.
- Mammen, E., 1993. Bootstrap and wild bootstrap for high dimensional linear models. Ann. Statist. 21, 255–285.
- Pesaran, MH., Yamagata, T. Testing slope homogeneity in large panels. J. Econometrics. 2008; 142, 50–93.
- Pesaran, MH., & Smith, R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of econometrics. 1995; 68(1), 79-113.
- Pesaran, MH, Smith R, Im KS. Dynamic linear models for heterogeneous panels. In L. Matyas and P. Sevestre (eds.), The Econometrics of Panel Data: A Handbook of the Theory with Applications, 2nd rev. 1996; 145–195. Kluwer Academic Publishers.
- Phillips PCB, Sul D. Dynamic panel estimation and homogeneity testing under cross section dependence. Econom. J. 2003; 6, 217–259.
- Robertson, D., & Symons, J. Some strange properties of panel data estimators. Journal of Applied econometrics. 1992; 7(2), 175-189.
- Wu, C.F.J., 1986. Jackknife bootstrap and other resampling methods in regression analysis. Ann. Statist. 14, 1261–1295.
Öz
This paper considers testing for
slope homogeneity in dynamic panel data models with heteroskedastic
disturbances. We investigate the use of a wild bootstrap framework is suggested
to approximate the distribution of the
T., Testing slope homogeneity in large panels, Journal of Econometrics 142,
50–93, 2008). Simulation experiments show that the wild bootstrap
this context.
Anahtar Kelimeler
Testing slope homogeneity dynamic panels wild bootstrap ∆ ̃_adj test
Kaynakça
- Beran, R., 1986. Discussion of “Jackknife bootstrap and other resampling methods in regression analysis” by C.F.J. Wu. Ann. Statist. 14, 1295–1298.
- Giacomini R, Politis DN, White H. A Warp-Speed method for conducting Monte Carlo experiments involving bootstrap estimators. Econ Theory. 2013; 29:567–589.
- Liu, R.Y., 1988. Bootstrap procedure under some non-i.i.d. models. Ann. Statist. 16, 1696–1708.
- Mammen, E., 1993. Bootstrap and wild bootstrap for high dimensional linear models. Ann. Statist. 21, 255–285.
- Pesaran, MH., Yamagata, T. Testing slope homogeneity in large panels. J. Econometrics. 2008; 142, 50–93.
- Pesaran, MH., & Smith, R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of econometrics. 1995; 68(1), 79-113.
- Pesaran, MH, Smith R, Im KS. Dynamic linear models for heterogeneous panels. In L. Matyas and P. Sevestre (eds.), The Econometrics of Panel Data: A Handbook of the Theory with Applications, 2nd rev. 1996; 145–195. Kluwer Academic Publishers.
- Phillips PCB, Sul D. Dynamic panel estimation and homogeneity testing under cross section dependence. Econom. J. 2003; 6, 217–259.
- Robertson, D., & Symons, J. Some strange properties of panel data estimators. Journal of Applied econometrics. 1992; 7(2), 175-189.
- Wu, C.F.J., 1986. Jackknife bootstrap and other resampling methods in regression analysis. Ann. Statist. 14, 1261–1295.
Ayrıntılar
| Bölüm | Makaleler |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 7 Eylül 2017 |
| Yayımlandığı Sayı | Yıl 2017 Sayı: 26 |