Novel panel cointegration tests emending for cross-section dependence withNfixed

Using a new panel cointegration test that considers serial correlation and cross-section dependence on a mixed and heterogenous sample of Saudi banks, we revisit the cointegrating equation of the z-score index of banking stability. Our results show that even when we consider the cross-section dependency and serial correlation of the errors, there is a possibility of a long-run relationship, which holds in our sample of banks. Furthermore, in the medium term, we found some banks to be integrated, whereas others were non-cointegrated. We interpret this to suggest that some banks contribute to banking stability, whereas others do not. In other words, there exists at least one bank that acts as a destabilizer and the challenge for financial regulators is to identify which banks these are. However, the current version of the Hadri et al. test does not allow for the identification of the non-cointegrated banks. If the test was able to do that, the regulatory authorities would be able to develop corrective policies/measures specifically tailored to the non-cointegrated units.

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GLOBALIZATION AND INFLATION: NEW PANEL EVIDENCE

Macroeconomic Dynamics ◽

10.1017/s1365100514000510 ◽

2015 ◽

Vol 20 (1) ◽

pp. 1-26 ◽

Cited By ~ 3

Author(s):

Dong-Hyeon Kim ◽

Shu-Chin Lin ◽

Yi-Chen Wu

Keyword(s):

Cross Section ◽

Political Institutions ◽

Empirical Work ◽

Panel Cointegration ◽

Developed Countries ◽

Data Sets ◽

Legal Traditions ◽

Heterogeneous Panel ◽

Positive Effect

Recent empirical work on globalization and inflation analyzes multicountry data sets in panel and/or cross-section frameworks and reaches inconclusive results. This paper highlights their shortcomings and reexamines the issue utilizing heterogeneous panel cointegration techniques that allow for cross-section heterogeneity and dependence. It finds that in a sample of developing countries globalization of both trade and finance, on the average, exerts a significant and positive effect on inflation, whereas in a sample of developed countries there is, on the average, no significant impact of openness. Neither type of openness disciplines inflationary policy. Despite this, there are large variations in the effect across countries, due possibly to differences in the quality of political institutions, central bank independence, the exchange-rate regimes, financial development, and/or legal traditions.

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Difference-based estimation and model identification for panel data semiparametric models with cross-section dependence

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2013.857417 ◽

2015 ◽

Vol 45 (4) ◽

pp. 1099-1117

Author(s):

Haibing Zhao ◽

Rui Li

Keyword(s):

Panel Data ◽

Cross Section ◽

Model Identification ◽

Semiparametric Models ◽

Cross Section Dependence

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A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

SSRN Electronic Journal ◽

10.2139/ssrn.457280 ◽

2003 ◽

Cited By ~ 109

Author(s):

M. Hashem Pesaran

Keyword(s):

Cross Section ◽

Unit Root ◽

Unit Root Test ◽

Panel Unit Root Test ◽

Panel Unit Root ◽

Cross Section Dependence

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The Leading Role of East China Metropolitan Housing Markets: Panel Cointegration Tests

Proceedings of the 2015 AASRI International Conference on Circuits and Systems ◽

10.2991/cas-15.2015.82 ◽

2015 ◽

Author(s):

Zou Gaolu

Keyword(s):

Panel Cointegration ◽

Housing Markets ◽

East China ◽

Leading Role ◽

Cointegration Tests

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The Nexus between Financial Development and Economic Growth: Panel Data Evidence from Developing Countries

Journal of Risk and Financial Management ◽

10.3390/jrfm14100489 ◽

2021 ◽

Vol 14 (10) ◽

pp. 489

Author(s):

E. M. Ekanayake ◽

Ranjini Thaver

Keyword(s):

Economic Growth ◽

Developing Countries ◽

Panel Data ◽

Least Squares ◽

Financial Development ◽

Panel Cointegration ◽

Sub Saharan Africa ◽

Explanatory Variables ◽

Cointegration Tests ◽

Sub Saharan

The objective of this study is to investigate the nexus between financial development (FD) in economic growth (GROWTH) in developing countries. The study uses panel data from 138 developing countries during the period 1980–2018. The relationship between financial development and economic growth is investigated using four explanatory variables that are commonly used to measure the level of financial development and several other control variables, including a dummy variable representing the financial and banking crises. The sample of 138 developing countries is also classified into six geographic regions. We have carried out panel unit-root tests and panel cointegration tests before estimating the specified models using both Panel Least Squares (Panel LS) and Panel Fully Modified Least Squares (FMOLS) methods. In addition, panel Granger causality tests have been conducted to identify the direction of causality between FD and GROWTH for each of the regions. The results of the study provide evidence of a direct relationship between FD and GROWTH in developing countries. Furthermore, there is evidence of bi-directional causality running from FD to GROWTH and from GROWTH to FD in samples of Europe and Central Asia, South Asia, and all countries, but not in East Asia and Pacific, Latin America and the Caribbean, Middle East and North Africa, and Sub-Saharan Africa.

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