Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Artūras Juodis"'
Publikováno v:
The Stata Journal: Promoting communications on statistics and Stata. 23:230-242
In this article, we introduce the xtgrangert command, which implements the panel Granger noncausality testing approach developed by Juodis, Karavias, and Sarafidis (2021, Empirical Economics 60: 93–112). This test offers superior size and power per
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::11c4d75408be24b4868678999cd38241
https://doi.org/10.1177/1536867x231162034
https://doi.org/10.1177/1536867x231162034
Autor:
Vasilis Sarafidis, Artūras Juodis
Publikováno v:
Journal of business & economic statistics
Journal of Business and Economic Statistics, 40(1), 1-15. AMER STATISTICAL ASSOC
Journal of Business and Economic Statistics, 40(1), 1-15. AMER STATISTICAL ASSOC
A novel method-of-moments approach is proposed for the estimation of factor-augmented panel data models with endogenous regressors when T is fixed. The underlying methodology involves approximating the unobserved common factors using observed factor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9bf7de922b743c11e5c66034360b5ca
https://research.rug.nl/en/publications/37dc6614-d9e2-4e64-8d98-83b8789cdaf3
https://research.rug.nl/en/publications/37dc6614-d9e2-4e64-8d98-83b8789cdaf3
Publikováno v:
Empirical Economics
This paper develops a new method for testing for Granger non-causality in panel data models with large cross-sectional (N) and time series (T) dimensions. The method is valid in models with homogeneous or heterogeneous coefficients. The novelty of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ea6f426962ca0616c6779c29cb211c6
Autor:
Simon Reese, Artūras Juodis
Publikováno v:
Journal of Business and Economic Statistics, 40(3), 1191-1203. Taylor and Francis Ltd.
In this paper we consider the properties of the Pesaran (2004, 2015a) CD test for cross-section correlation when applied to residuals obtained from panel data models with many estimated parameters. We show that the presence of period-specific paramet
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bb258e6f0398b4c976167fc4cc4d71ed
https://dare.uva.nl/personal/pure/en/publications/the-incidental-parameters-problem-in-testing-for-remaining-crosssection-correlation(dfdf10e7-7228-4814-856d-c3368f56c95a).html
https://dare.uva.nl/personal/pure/en/publications/the-incidental-parameters-problem-in-testing-for-remaining-crosssection-correlation(dfdf10e7-7228-4814-856d-c3368f56c95a).html
Autor:
Rutger W. Poldermans, Artūras Juodis
Publikováno v:
Economics Letters, 201:109780. Elsevier
The effectiveness of an orthogonal to backward mean transformation is investigated in the context of a non-stationary panel data model. It is shown that the corresponding estimator is as efficient as Transformed Maximum Likelihood when the autoregres
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aeae94a2d4ba4659de53e48f5906f30d
https://doi.org/10.1016/j.econlet.2021.109780
https://doi.org/10.1016/j.econlet.2021.109780
Autor:
Joakim Westerlund, Artūras Juodis
Publikováno v:
The Econometrics Journal, 22(1), 57-72
Summary This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::57f7a012f0dceef11aa110ec6c871af0
https://doi.org/10.1111/ectj.12118
https://doi.org/10.1111/ectj.12118
Autor:
Artūras Juodis
Publikováno v:
Empirical Economics
Empirical Economics, 55(2), 349-389. Physica
Empirical Economics, 55(2), 349-389. Physica-Verlag
Empirical Economics, 55(2), 349-389. Physica
Empirical Economics, 55(2), 349-389. Physica-Verlag
In this paper, we show that the cointegration testing procedure of Binder et al. (Econom Theory 21:795–837, 2005) for Panel Vector Autoregressive model of order 1, PVAR(1) is not valid due to the singularity of the hessian matrix. As an alternative
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0340c2ff7895861a13c5c332e6e7bae
https://doi.org/10.1007/s00181-017-1304-8
https://doi.org/10.1007/s00181-017-1304-8
Autor:
Artūras Juodis, Vasilis Sarafidis
Publikováno v:
Econometric Reviews, 37(8), 893-929. Taylor and Francis Ltd.
Econometric Reviews, 37(8), 893-929. Taylor & Francis Group
Econometric Reviews, 37(8), 893-929. Taylor & Francis Group
This article analyzes a growing group of fixed T dynamic panel data estimators with a multifactor error structure. We use a unified notational approach to describe these estimators and discuss their properties in terms of deviations from an underlyin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::70f31101b76655e060d114cef8c2670d
https://doi.org/10.1080/00927872.2016.1178875
https://doi.org/10.1080/00927872.2016.1178875
Autor:
Artūras Juodis
Publikováno v:
Journal of Business and Economic Statistics, 36(1), 47-61. Taylor and Francis Ltd.
Journal of Business & Economic Statistics, 36(1), 47-61. AMER STATISTICAL ASSOC
Journal of Business & Economic Statistics, 36(1), 47-61. AMER STATISTICAL ASSOC
When genuine panel data samples are not available, repeated cross-sectional surveys can be used to form so-called pseudo panels. In this article, we investigate the properties of linear pseudo panel data estimators with fixed number of cohorts and ti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0ec1e8210da362c970ec375143775d91
https://doi.org/10.1080/07350015.2015.1137759
https://doi.org/10.1080/07350015.2015.1137759