Testing cross-section correlation in panel data using spacings

Article Abstract:

Agnostic way of testing cross-section correlation where possibly a subset of the sample is correlated using a breakpoint analysis and a variance ratio test to access whether the properties of the spacings are consistent with the assumption of zero correlation. The problem of testing cross-section can be applied to raw data and regression errors.

Analysis of variance, Correlation (Statistics), Purchasing power

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A simple test for nonstationarity in mixed panels

Article Abstract:

A simple estimator consistent for a fraction of a panel with an autoregressive unit root is proposed. This estimator, tested using exchange rates of 21 countries, functions well under cross-sectional stationary correlation.

United States, Science & research, Research, Methods, Models, Foreign exchange, Foreign exchange rates, Estimation theory, Panel analysis, Report

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Determining the number of primitive shocks in factor models

Article Abstract:

A procedure to determine the number of primitive common shocks in a large number of series is proposed.

China, New York, Analysis, Macroeconomics

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