Christoph Hanck

Combining non-cointegration tests (2009)

This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series...

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation (2008)

The local asymptotic power of many popular non-cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform...

Is double trouble? How to combine cointegration tests (2008)

This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series...

An intersection test for panel unit roots (2008)

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and...

More on the F-test under nonspherical disturbances (2008)

This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is...

Krämer, Walter, Hanck, Christoph

We show that the F-test can be both liberal and conservative in the context of a particular type of nonspherical behaviour induced by spatial autocorrelation, and that the conservative variant is...

Now, whose schools are really better (or weaker) than Germany's? A multiple testing approach (2008)

Is double trouble? : how to combine cointegration tests (2008)

Using PIRLS (Progress in International Reading Literacy Study) data, we investigate which countries' schools can be be classified as significantly better or weaker than Germany's as regards the...

Testing in nonstationary and dependent panels with applications to purchasing power parity (2007)

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and...

A meta analytic approach to testing for panel cointegration (2007)

A Meta Analytic Approach to Testing for Panel (2007)

We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively...

Are PPP tests erratically behaved? Some panel evidence (2006)

We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively...

Caporale, Guglielmo Maria, Hanck, Christoph

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that...

Cross-sectional correlation robust tests for panel cointegration (2006)

Mixed signals among panel cointegration tests (2006)

We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in combining p-values from time series cointegration tests on the different units of...

The error-in-rejection probability of meta-analytic panel tests (2006)

Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (“mixed signals”) as measured by, inter alia, a low correlation of empirical...

For which countries did PPP hold? A multiple testing approach (2006)

Meta-analytic panel unit root tests such as Fisher’s Chi^2 test, which consist of pooling the p-values of time series unit root tests, are widely applied in practice. Recently, several Monte Carlo...

OLS-based estimation of the disturbance variance under spatial autocorrelation (2006)

We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in...

Krämer, Walter, Hanck, Christoph

We investigate the OLS-based estimator s^2 of the disturbance variance in the standard linear regression model with cross section data when the disturbances are homoskedastic, but spatially...

Neuromotorische Entwicklung 5-10jähriger Basler Kinder der Basler Kindergartenstudie / (1989)

Hanck, Christoph.

Diss. med. Basel (kein Austausch).

Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?

OLS-based estimation of the disturbance variance under spatial autocorrelation

We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not...

Prof. Dr. Walter Krämer, Christoph Hanck

We investigate the OLS-based estimator s2 of the disturbance variance in the standard linear regression model with cross section data when the disturbances are homoskedastic, but spatially...

Is Double Trouble? – How to Combine Cointegration Tests

Christian Bayer, Christoph Hanck

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test.To exemplify, we combine Engle and Granger (1987) and...

COINTEGRATION TESTS OF PPP:DO THEY ALSO EXHIBIT ERRATIC BEHAVIOUR?

Are PPP Tests Erratically Behaved? Some Panel Evidence

We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not...

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

This paper examines whether, in addition to standard unit root and cointegration tests,panel approaches also produce test statistics behaving erratically when applied to PPP. We show that if...

Now, whose schools are really better (or weaker) than Germany's? A multiple testing approach

This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series...

The Error-in-Rejection Probability of meta-analytic panel tests

Using PIRLS (Progress in International Reading Literacy Study) data, we investigate which countries' schools can be be classified as significantly better or weaker than Germany's as regards the...

Cointegration tests of PPP: do they also exhibit erratic behaviour?

The puzzling Monte Carlo finding that the size distortion of meta-analytic panel unit root tests increases with the number of panel series is explained as the cumulative effect of arbitrarily small...

Combining Non-Cointegration Tests

We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not...

Uwe Hassler (2007): Stochastische Integration und Zeitreihenmodellierung

The local asymptotic power of many popular non-cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform...

BAYERHANCK: Stata module to compute test for non-cointegration

Christian Bayer, Christoph Hanck

bayerhanck produces a joint test-statistic for the null of no-cointegration based on Engle-Granger, Johansen maximum eigenvalue, Boswijk, and Banerjee tests.

For which countries did PPP hold? A multiple testing approach

Cross-sectional correlation robust tests for panel cointegration

Multiple testing, Bootstrap, PPP, Panel data,