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2011 | nr 9 | 47
Tytuł artykułu

Stability of long-run relationship for countries in transition: a Hansen test study

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The results of a Monte Carlo research for the Hansen Lc, MeanF and SupF stability tests for long-run relationships are reported. The tests are related to the Phillips-Hansen and Hansen semiparametric methods, which involve kernel density estimation of the long-run covariance matrix. We compare the effect of the choice of kernel on the performance of the tests, and also check the effect of misspecification of the model (lags for the disturbances) on the behaviour of test statistics, and behaviour of percentiles. The results indicate that the best - both in terms of efficiency and robustness to misspecification error - is the Parzen kernel.(original abstract)
Rocznik
Numer
Strony
47
Opis fizyczny
Twórcy
  • Warsaw School of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
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