Gunnella, Vanessa
(2015)

*Essays in Macroecometrics: methodological aspects and empirical applications*, [Dissertation thesis], Alma Mater Studiorum Università di Bologna.
Dottorato di ricerca in

Economia, 27 Ciclo. DOI 10.6092/unibo/amsdottorato/7059.

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## Abstract

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of
individuals of the panel is small relatively to the number of time series observations.
I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries.
In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time.
I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets.
The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Abstract

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of
individuals of the panel is small relatively to the number of time series observations.
I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries.
In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time.
I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets.
The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Tipologia del documento

Tesi di dottorato

Autore

Gunnella, Vanessa

Supervisore

Dottorato di ricerca

Scuola di dottorato

Scienze economiche e statistiche

Ciclo

27

Coordinatore

Settore disciplinare

Settore concorsuale

Parole chiave

Panel cointegration; seemingly unrelated regression; bounds test; I(1) and I(0) regressors; Monte Carlo simulation; Expectation Hypothesis; Repo; VAR Testing; Heteroskedasticity; Multiple Hypothesis Testing.

URN:NBN

DOI

10.6092/unibo/amsdottorato/7059

Data di discussione

11 Giugno 2015

URI

## Altri metadati

Tipologia del documento

Tesi di dottorato

Autore

Gunnella, Vanessa

Supervisore

Dottorato di ricerca

Scuola di dottorato

Scienze economiche e statistiche

Ciclo

27

Coordinatore

Settore disciplinare

Settore concorsuale

Parole chiave

Panel cointegration; seemingly unrelated regression; bounds test; I(1) and I(0) regressors; Monte Carlo simulation; Expectation Hypothesis; Repo; VAR Testing; Heteroskedasticity; Multiple Hypothesis Testing.

URN:NBN

DOI

10.6092/unibo/amsdottorato/7059

Data di discussione

11 Giugno 2015

URI

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