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Panel Veri Analizi-II

Şaban Nazlıoğlu (Pamukkale Üniversitesi)

Çağın Karul (Pamukkale Üniversitesi)

 

Yazılım:

Eviews 9 ve üzeri.

GAUSS 19 ve üzeri

 

Önemli Notlar:

Şaban Nazlıoğlu tarafından GAUSS için hazırlanmış olan ve Aptech tarafından tüm kullanıcılarının paylaşımına açılmış olan TSPDlib (Econometric Package for Time Series and Panel Data Methods - https://github.com/aptech/tspdlib/ ) kütüphanesi güncellenmiş olup ilk kez EYS-2019 katılımcılarına tanıtılacak ve kütüphanenin pratik kullanımları gösterilecektir.

 

Hem TSPDlib hem de diğer GAUSS uygulamaları için katılımcıların GAUSS 19 programına sahip olmaları tavsiye edilir. Çünkü, daha önceki sürümlerde bazı fonksiyonlar olmadığı için yazılan kodların çalışmaması problemi ile karşılaşılmaktadır.

 

GAUSS ile yapılacak uygulamaların daha verimli olması için katılımcıların, “GAUSS-I: Ekonometrik Programlama ve Uygulamalar”  ve teorik konuların daha kolay anlaşılabilmesi ve GAUSS ile programlama becerilerinin geliştirilmesi için “GAUSS-II: İleri Ekonometrik Programlama ve Simülasyonalr” kurslarına katılmaları tavsiye edilir.

 

Birim Kök

I. Nesil Testler: Yatay Kesit Bağımsızlığı

LLC

Levin, A., Lin, C. F. andChu, C. S. J. (2002) Unit root test in panel data: asymptotic and finite sample properties, Journal of Econometrics, 108, 1–24.

 

IPS

Im, K. S., Pesaran, M. H. and Shin, Y. (2003) Testing for unit roots in heterogeneous panels, Journal of Econometrics, 115, 53–74

 

MW

Maddala, G. S. and Wu, S. (1999) A comparative study of unit root tests with panel data and a new simple test, Oxford Bulletin of Economics and Statistics, special issue, 631–52.

 

Choi

Choi, I. (2001) Unit root tests for panel data, Journal of International Money and Finance, 20, 249–72.

 

Hadri

Hadri, K. (2000), Testing for Unit Roots in Heterogeneous Panel Data, Econometrics Journal, 3, 148-161.

 

Yatay Kesit Bağımlılığı ve Homojenlik Testleri

LM

Breusch, T.S. and Pagan, A.R. (1980) The Lagrange multiplier test and its applications to model specification in econometrics, Review of Econometric Studies, 47 (1), 239-253.

 

CD

Pesaran, M.H. (2004) General diagnostic tests for cross section dependence in panels, CESifo Working Paper Series, 1229.

 

BA-LM

Pesaran, M. H., Ullah, A. and Yamagata, T. (2008) A bias-adjusted LM test of error cross-section independence, Econometrics Journal 11, 105–127.

 

Delta

Pesaran, M. H., Yamagata, T. (2008) Testing slope homogeneity in large panels, Journal of Econometrics, 142(1), pp. 50–93.

 

II. Nesil: Yatay Kesit Bağımlılığı

SURADF

Breuer, B., McNown, R., Wallace, M. (2002). “Series-Specific Unit Root Test with Panel Data.” Oxford Bulletin of Economics and Statistics 64, No.5 :527-546.

 

Bootstrap IPS

Smith, V.L., Leybourne, S., Kim, T., Newbold, P. (2004) More powerful panel data unit root tests with an application to mean reversion in real exchange rates, Journal of Applied Econometrics, vol. 19, issue 2, pages 147-170.

 

PANIC (Uygulamalar GAUSS-TSPDlib ile yapılacaktır)

 

Bai, J. and Ng, S. (2004) A PANIC attack on unit roots and cointegration, Econometrica, 72, 1127–78.

 

Westerlund, J., & Larsson, R. (2009). A note on the pooling of individual PANIC unit root tests.Econometric Theory,25(6), 1851-1868.

 

Bai, J., & Ng, S. (2010). Panel unit root tests with cross-section dependence: a further investigation.Econometric Theory,26(4), 1088-1114.

 

Reese, S., & Westerlund, J. (2016). PANICCA: Panic on CrossSection Averages.Journal of Applied Econometrics,31(6), 961-981.

 

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models.Econometrica,70(1), 191-221.

 

CADF & CIPS

Pesaran, M.H. (2007) A simple unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, 22 (2), 265-312.

 

Modified CADF & CIPS

Westerlund, J., & Hosseinkouchack, M. (2016).Modified CADF and CIPS Panel Unit Root Statistics with Standard Chisquared and Normal Limiting Distributions. Oxford Bulletin of Economics and Statistics, 78(3), 347-364.

 

HK

Hadri, K., Kurozumi, E., (2012) A simple panel stationarity test in the presence of serial correlation and a common factor, Economics Letters 115, 31–34.

 

Yapısal Kırılmalar (Uygulamalar GAUSS-TSPDlib ile yapılacaktır)

ILT-level

Im, K., Lee, J., Tieslau, M. (2005) Panel LM Unit-root Tests with Level Shifts, Oxford Bulletin of Economics and Statistics 67, 393–419.

 

JW-level

Westelund, J. (2012) Testing for unit roots in panel time-series models with multiple level breaks, The Manchester School Vol 80 No. 6 671–699

 

LT-trend

Lee, J., & Tieslau, M. (2017). Panel LM unit root tests with level and trend shifts.Economic Modelling.

 

Mbreak

Carrion-i-Silvestre, J.L., Del Barrio-Castro, T., Lopez-Bazo, E., (2005) Breaking the panels: An application to GDP per capita, Econometrics Journal, 8, 159–175.

Hadri, K., & Rao, Y. (2008). Panel Stationarity Test with Structural Breaks. Oxford Bulletin of Economics and Statistics, 70(2), 245-269.

 

Fourier

Panel ADF

Lee, C., Wu, J.-L., Yang, L., 2015. A Simple panel unit-root test with smooth breaks in the presence of a multifactor error structure. Oxford Bulletin of Economics and Statistics. 78 (3), 365–393.

 

Fourier

Panel KPSS

Nazlioglu, S., & Karul, C. (2017). A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks.Economic Modelling,61, 181-192.

 

PANIC break

Bai, J. and Carrion-i-Silvestre, J. L. (2009). Structural changes, common stochastic trends, and unit roots in panel data, Review of Economic Studies, 76, 471–501.

 

PANIC Fourier

Nazlioglu, S., Lee, J., Karul, C., Tieaslau, M., You, Y. 2019. Panel unit root tests with smooth structural changes and a factor structure. 27th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, March 28-29, 2019. Federal Reserve Bank of Dallas.

Eşbütünleşme

Pedroni

Pedroni, P., 1999. Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics 61, 653–670.

 

 

Pedroni, P., 2004. Panel cointegration: asymptotic and finite sample properties of pooled timeseries tests with an application to the PPP hypothesis: new results. Econometric Theory 20, 597–627.

 

CUSUM

Westerlund, J., 2005. A Panel CUSUM Test of the Null of Cointegration, Oxford Bulletin of Economics and Statistics 67, 231–262.

 

ECM

Westerlund, J., 2007. Testing for Error Correction in Panel Data, Oxford Bulletin of Economics and Statistics 69, 709-748.

 

LM

Westerlund, J., Edgerton, D. L., 2007. A Panel Bootstrap Cointegration Test. Economics Letters 97, 185–190.

 

Durbin-h

Westerlund, J., 2008. Panel cointegration tests of the Fisher effect, Journal of Applied Econometrics 23, 193–233.

 

Yapısal Kırılmalar

Westerlund, J. (2006) Testing for panel cointegration with a level break, Economics Letters 91 (2006) 27–33.

 

Westerlund, J., 2006. Testing for panel cointegration with multiple structural breaks. Oxford Bulletin of Economics and Statistics 68, 101-132.

 

Westerlund, J., Edgerton, D. L., 2008.A Simple Test for Cointegration in Dependent Panels with Structural Breaks. Oxford Bulletin of Economics and Statistics 70, 665-704.

 

Eşbütünleşme Tahmincileri

Panel ARDL

Pesaran, M. H., Shin, Y. and Smith, R. J. (1999), Pooled Mean Group Estimation of Dynamic Heterogeneous Panels, Journal of the American Statistical Association, 94, 621–634..

 

Panel FMOLS

Pedroni, P., 2000. Fully modified OLS for heterogeneous cointegrated panels. Advances in Econometrics 15, 93–130.

 

Panel DOLS

Pedroni, P., 2001. Purchasing Power Parity Tests in cointegrated panels. Review of Economics and Statistics 83, 727–731.

 

CCE

Pesaran, M.H., (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure, Econometrica, Vol. 74, No. 4, 967–1012.

 

CUP-FM

Bai, J., and C. Kao. (2005). ‘‘On the Estimation and Inference of a Panel CointegrationModel with Cross-Sectional Dependence.’’ In B. Baltagi (ed.), Contributions to Economic Analysis. Amsterdam: Elsevier.

 

BA-OLS

Westerlund, J. (2007) Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis, Journal of Financial Econometrics, 2007, Vol. 5, No. 3, 491–522.

 

AMG

Eberhardt, M., and S. Bond. 2009. Cross-section dependence in nonstationary panel models: A novel estimator. MPRA Paper 17692, University Library of Munich. http://mpra.ub.uni-muenchen.de/17692/1/MPRA paper 17692.pdf.

Eberhardt, M., and F. Teal. 2010. Productivity analysis in global manufacturing pro-duction. Discussion Paper 515, Department of Economics, University of Oxford. http://www.economics.ox.ac.uk/research/WP/pdf/paper515.pdf.

Eberhardt, M. (2012) Estimating panel time-series models with heterogeneous slopes, The Stata Journal 12 , Number 1, pp. 61–71.

 

 

Nedensellik

Panel Nedensellik testleri için “Eviews ve GAUSS Kütüphanesi” hazırlanmıştır.

Panel VECM

Constantini, V., Martini, C. (20010) The causality between energy consumption and economic growth: A multi-sectoral analysis using non-stationary cointegrated panel data, Energy Economics 32 (2010) 591–603.

 

Caning & Pedroni

Canning, D., Pedroni, P. (2008) Infrastructure, long-run economic growth and causality tests for cointegrated panels, The Manchester School Vol 76 No. 5, 504-527.

 

Dumitrescu & Hurlin

Dumitrescu, E., Hurlin, C. (2012) Testing for Granger non-causality in heterogeneous panels, Economic Modelling 29 (2012) 1450–1460.

 

Panel Fisher

Emirmahmutoglu, F., Kose, N. (2011) Testing for Granger causality in heterogeneous mixed panels, Economic Modelling 28 (2011) 870–876.

 

Bootstrap test

Kónya, L. (2006) Exports and growth: Granger causality analysis on OECD countries with a panel data approach, Economic Modelling, 23 (6), pp. 978-992.

 

Panel Asimetrik Nedensellik

Hatemi-J, A. (2011). Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia. MPRA Paper No. 55527. http://mpra.ub.uni-muenchen.de/55527/

 

 

 

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