Error Correction Testing in Panels with Common Stochastic Trends

Gengenbach, Christian; Urbain, Jean Pierre; Westerlund, Joakim

doi:10.1002/jae.2475

Cited by 128 publications

(121 citation statements)

References 31 publications

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“…Again, the interaction term of the dummy variable and the real effective exchange rate regressor is only significant for the OECD sample. Also the trend interaction term coefficients remain 21 Given the validity of the PPP-hypothesis for exchange rates in the long run, we do not distinguish between appreciations of the exchange rate to a new historical maximum and an increase back to the previous maximum. 22 Note that we take the hypothesis of Griffin and Schulman (2005) one step further, as we already control for a common time trend and other common unobserved factors in the panel ECM model.…”

Section: Appreciations Versus Depreciationsmentioning

confidence: 99%

“…The BIC3 criterion is more robust when there is cross correlation in the idiosyncratic errors (Bai and Ng 2002). 7 The common factor critique applies to residual-based panel cointegration tests as they rely on residual rather than structural dynamics (Gengenbach et al 2008). 8 The approach we take to examine the robustness of the GUW test results is the following: we apply the continuously-updated and bias-corrected (CupBC) estimator of Bai et al (2009) to the long-run cointegration equation and we test the (de-factored) residuals for a unit root using the PANIC test procedure.…”

Section: Panel Unit Root and Cointegration Testsmentioning

confidence: 99%

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The U.S. Dollar Exchange Rate and the Demand for Oil

Schryder¹,

Peersman²

2016

The Energy Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate leads to a significant decline in oil demand for a sample of 65 oilimporting countries. The estimated effect turns out to be much larger than the impact of a shift in the global crude oil price expressed in US dollar. Furthermore, the effect of the US dollar on oil demand tends to be declining over time and, for a subsample of OECD countries, stronger for an appreciation compared to a depreciation of the US dollar. Terms of use: Documents in EconStor mayJEL-Code: C330, F310, Q410.

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Section: Appreciations Versus Depreciationsmentioning

confidence: 99%

Section: Panel Unit Root and Cointegration Testsmentioning

confidence: 99%

The U.S. Dollar Exchange Rate and the Demand for Oil

Schryder¹,

Peersman²

2016

The Energy Journal

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show abstract

“…Additional tests based on an Error-Correction-Model approach, i.e. those suggested by Westerlund (2007) and Gengenbach et al (2009), lead to the same conclusion. In these conditions, the FE estimator can be shown to estimate consistently the hypothetized single cointegrating vector (see e.g.…”

Section: Empirical Methodologymentioning

confidence: 60%

The Economic Forces Behind Deindustrialization: An Empirical Investigation

Neuss

2016

SSRN Journal

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The purpose of this paper is to provide an in-depth study of deindustrialization and to systematically analyze the reasons why the world's most economically successful countries have experienced a sharp decline in relative manufacturing employment over the last decades. A large strand of empirical literature on deindustrialization aims at quantifying the relative importance of the economic forces behind deindustrialization, especially of the 'internal' and 'external' factors. While this study does not contradict the widespread belief that internal factors are quantitatively more important in explaining deindustrialization in advanced countries taken as a whole, our results, based on both static and dynamic techniques and panel data on 18 OECD countries from 1977 to 2007, however suggest that the role of globalization may be revised upwards when resorting to appropriate and welldefined indicators of trade in manufactures.

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“…Firstly, the cointegration tests show that the non-stationary variables are cointegrated in the traditional sense, suggesting that at least between those, a long-run relationship exists (table 4). Two tests were used, both accounting for the possibility of CSD: the first one is based on the significance of the error-correction term Gengenbach et al (2008) 15 , the second is based on the stationarity of the residuals (Holly et al, 2010) 16 . Rejection of a unit root indicates the presence of cointegration.…”

mentioning

confidence: 99%

“…For this reason some robustness checks, using different estimators will be conducted. (Gengenbach et al, 2008) test. This test was computed in Stata with the routine described by prof. Markus Eberhardt on his website (https://sites.google.com/site/medevecon/home).…”

mentioning

confidence: 99%

Institutional investors’ allocation to emerging markets: A panel approach to asset demand

Bonizzi

2017

Journal of International Financial Markets, Institutions and Mo

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This paper presents empirical evidence on the increasing allocation of institutional investors to emerging markets economies. It seeks to understand which factors are driving this increase, and how this relates to portfolio flows to such economies. By making use of the Emerging Portfolio FundResearch database, it estimates asset demand equations for emerging markets equities and bonds by institutional investors from advanced countries. These are estimated using recent advances in the panel autoregressive distributed lags models literature. Two key results emerge: balance sheet conditions of institutional investors and foreign exchange reserves in emerging markets affect asset allocation; secondly, quarterly returns matter for long-run asset allocations and the portfolio adjustment process is quick. These findings suggest that portfolio flows by institutional investors could still be procylical despit their more long-term horizon, and that additional variables should be monitored to ensure financial stability.

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Error Correction Testing in Panels with Common Stochastic Trends

Cited by 128 publications

References 31 publications

The U.S. Dollar Exchange Rate and the Demand for Oil

The U.S. Dollar Exchange Rate and the Demand for Oil

The Economic Forces Behind Deindustrialization: An Empirical Investigation

Institutional investors’ allocation to emerging markets: A panel approach to asset demand

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