Nonstationary panel data analysis: An overview of some recent developments
PCB Phillips, HR Moon - Econometric reviews, 2000 - Taylor & Francis
This paper overviews some recent developments in panel data asymptotics, concentrating
on the nonstationary panel case and gives a new result for models with individual effects …
on the nonstationary panel case and gives a new result for models with individual effects …
Scale and skill in active management
We empirically analyze the nature of returns to scale in active mutual fund management. We
find strong evidence of decreasing returns at the industry level. As the size of the active …
find strong evidence of decreasing returns at the industry level. As the size of the active …
The local power of some unit root tests for panel data
J Breitung - … panels, panel cointegration, and dynamic panels, 2001 - emerald.com
To test the hypothesis of a difference stationary time series against a trend stationary
alternative, Levin & Lin (1993) and Im, Pesaran & Shin (1997) suggest bias adjusted t …
alternative, Levin & Lin (1993) and Im, Pesaran & Shin (1997) suggest bias adjusted t …
Testing for a unit root in panels with dynamic factors
This paper studies testing for a unit root for large n and T panels in which the cross-sectional
units are correlated. To model this cross-sectional correlation, we assume that the data are …
units are correlated. To model this cross-sectional correlation, we assume that the data are …
Panel cointegration with global stochastic trends
This paper studies estimation of panel cointegration models with cross-sectional
dependence generated by unobserved global stochastic trends. The standard least squares …
dependence generated by unobserved global stochastic trends. The standard least squares …
Predicting global stock returns
E Hjalmarsson - Journal of Financial and Quantitative Analysis, 2010 - cambridge.org
I test for stock return predictability in the largest and most comprehensive data set analyzed
so far, using four common forecasting variables: the dividend-price (DP) and earnings-price …
so far, using four common forecasting variables: the dividend-price (DP) and earnings-price …
Informative fund size, managerial skill, and investor rationality
M Zhu - Journal of Financial Economics, 2018 - Elsevier
This paper considers the nature of returns to scale in active management following Pástor et
al.(2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced …
al.(2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced …
Prewhitening bias in HAC estimation
Heteroskedasticity and autocorrelation consistent (HAC) estimation commonly involves the
use of prewhitening filters based on simple autoregressive models. In such applications …
use of prewhitening filters based on simple autoregressive models. In such applications …
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
PCB Phillips, D Sul - Journal of Econometrics, 2007 - Elsevier
Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the
cross section sample size N→∞. The results extend earlier work by Nickell [1981. Biases in …
cross section sample size N→∞. The results extend earlier work by Nickell [1981. Biases in …
Optimal inference in regression models with nearly integrated regressors
M Jansson, MJ Moreira - Econometrica, 2006 - Wiley Online Library
This paper considers the problem of conducting inference on the regression coefficient in a
bivariate regression model with a highly persistent regressor. Gaussian asymptotic power …
bivariate regression model with a highly persistent regressor. Gaussian asymptotic power …