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MedianUnbiased Estimation in DFGLS Regressions and the PPP Puzzle
, 2008
"... Using medianunbiased estimation, recent research has questioned the validity of Rogoff’s “remarkable consensus ” of 35 year halflives of deviations from PPP. These halflife estimates, however, are based on estimates from regressions where the resulting unit root test has low power. We extend med ..."
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medianunbiased estimation to the DFGLS regression of Elliott, Rothenberg, and Stock (1996). We find that medianunbiased estimation based on this regression has the potential to tighten confidence intervals for halflives. Using long horizon real exchange rate data, we find that the typical lower bound
Bayesian and DF−GLS unit root tests of real exchange rates over the current floating period
"... In an analysis of purchasing power parity, the Phillips−Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF−GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied. The ..."
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Cited by 1 (0 self)
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In an analysis of purchasing power parity, the Phillips−Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF−GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied
Lag length selection and the construction of unit root tests with good size and power
 Econometrica
, 2001
"... It is widely known that when there are errors with a movingaverage root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We conside ..."
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Cited by 534 (14 self)
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framework in which the movingaverage root is local to −1 to document how the MIC performs better in selecting appropriate values of k. In montecarlo experiments, the MIC is found to yield huge size improvements to the DF GLS and the feasible point optimal PT test developed in Elliott, Rothenberg and Stock
A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems
 ECONOMETRICA
, 1993
"... Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. T ..."
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Cited by 507 (3 self)
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Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions
The homogeneous coordinate ring of a toric variety
, 1992
"... This paper will introduce the homogeneous coordinate ring S of a toric variety X. The ring S is a polynomial ring with one variable for each onedimensional cone in the fan ∆ determining X, and S has a natural grading determined by the monoid of effective divisor classes in the Chow group An−1(X) of ..."
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Cited by 478 (7 self)
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This paper will introduce the homogeneous coordinate ring S of a toric variety X. The ring S is a polynomial ring with one variable for each onedimensional cone in the fan ∆ determining X, and S has a natural grading determined by the monoid of effective divisor classes in the Chow group An−1(X) of X (where n = dim X). Using this graded ring, we will show that X behaves like projective space in many ways. The paper is organized into four sections as follows. In §1, we define the homogeneous coordinate ring S of X and compute its graded pieces in terms of global sections of certain coherent sheaves on X. We also define a monomial ideal B ⊂ S that describes the combinatorial structure of the fan ∆. In the case of projective space, the ring S is just the usual homogeneous coordinate ring C[x0,..., xn], and the ideal B is the “irrelevant ” ideal 〈x0,..., xn〉. Projective space P n can be constructed as the quotient (C n+1 −{0})/C ∗. In §2, we will see that there is a similar construction for any toric variety X. In this case, the algebraic group G = HomZ(An−1(X), C ∗ ) acts on an affine space C ∆(1) such that the categorical quotient (C ∆(1) − Z)/G exists and is isomorphic to X. The exceptional set Z is the zero
How to do xtabond2: An introduction to “Difference” and “System” GMM in Strata
 CENTER FOR GLOBAL DEVELOPMENT, WORKING PAPER NO. 103
, 2006
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Structural Equation Modeling And Regression: Guidelines For Research Practice
 COMMUNICATIONS OF THE ASSOCIATION FOR INFORMATION SYSTEMS
, 2000
"... The growing interest in Structured Equation Modeling (SEM) techniques and recognition of their importance in IS research suggests the need to compare and contrast different types of SEM techniques so that research designs can be appropriately selected. After assessing the extent to which these techn ..."
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Cited by 421 (9 self)
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The growing interest in Structured Equation Modeling (SEM) techniques and recognition of their importance in IS research suggests the need to compare and contrast different types of SEM techniques so that research designs can be appropriately selected. After assessing the extent to which these techniques are currently being used in IS research, the article presents a running example which analyzes the same dataset via three very different statistical techniques. It then compares two classes of SEM: covariancebased SEM and partialleastsquaresbased SEM. Finally, the article discusses linear regression models and offers guidelines as to when SEM techniques and when regression techniques should be used. The article concludes with heuristics and rule of thumb thresholds to guide practice, and a discussion of the extent to which practice is in accord with these guidelines.
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