Author
Leo Michelis
Other affiliations: University of Cyprus, University of Crete
Bio: Leo Michelis is an academic researcher from Ryerson University. The author has contributed to research in topics: Cointegration & Convergence (economics). The author has an hindex of 10, co-authored 31 publications receiving 4006 citations. Previous affiliations of Leo Michelis include University of Cyprus & University of Crete.
Papers
More filters
TL;DR: In this article, the authors employ response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration.
Abstract: This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates critical values that are very much more accurate than those available previously. The principal contributions of the paper are a set of data files that contain estimated asymptotic quantiles obtained from response surface estimation and a computer program for utilizing them. This program, which is freely available via the Internet, can be used to calculate both asymptotic critical values and P-values. Copyright © 1999 John Wiley & Sons, Ltd.
1,971 citations
Posted Content•
TL;DR: The authors employed response surface regressions based on simulation experments to calculate asymptotic distribution functions for the likelihood ratio tests for cointegration proposed by Johansen and provided tables of critical values that are very much more accurate than those available previously.
Abstract: This paper employs response surface regressions based on simulation experments to calculate asymptotic distribution functions for the likelihood ratio tests for cointegration proposed by Johansen The paper provides tables of critical values that are very much more accurate than those available previously However the principal contributions of the paper are a set of data les that contain estimated asymptotic quantiles obtained from response surface estimation and a computer program for utilizing them This program which is freely available via the Internet can easily be used to calculate asymptotic critical values and P values Graphs of some of the tabulated distribution functions are also provided An empirical example motivated by the European Economic and Monetary Union proposed in the Maastricht Treaty suggests that not all the countries of the European Union may qualify initially for participation in the EMU.
1,841 citations
TL;DR: In this paper, the authors employ systems-based cointegration techniques developed by Johansen (1988, 1995) to determine which European Union countries would form a successful economic and monetary Union (EMU), based on long-run behavior of the nominal convergence criteria laid down in the Maastricht treaty.
97 citations
TL;DR: In this article, the authors investigated whether there was economic convergence of the real per capita GDP in the EU and employed two measures of convergence, i.e., σ and β, based on the cross standard deviation of the EU GDPs.
Abstract: Starting with the Treaty of Rome (1957), the European Union adopted common policies to promote “harmonious economic development and balanced expansion.” The paper investigates how successful such policies were, by examining whether there was economic convergence of the real per capita GDP in the EU. Two measures of convergence are employed. The first is σ, which is based on the cross standard deviation of the real per capita GDPs of the EU countries; the second is β convergence based on the neoclassical growth model. Both σ and β were estimated using EU data for the period 1960-1995. The empirical findings support the hypothesis of economic convergence within the EU except for the 1980-85 sub-period where weak divergence was indicated.
61 citations
TL;DR: In this article, the authors evaluated empirically regional convergence in Greece during the 1981-1991 period of participation in the European Economic Community (EEC) and found that a number of structural policies undertaken in the 1980s, motivated by membership in the EEC, were conducive to regional convergence among the 51 NUTS III regions of Greece.
Abstract: The purpose of this paper is to evaluate empirically regional convergence in Greece during the 1981–1991 period of participation in the European Economic Community (EEC). Census data at NUTS III level of regional disaggregation are used. A number of structural policies undertaken in the 1980s, motivated by membership in the EEC, were conducive to regional convergence among the 51 NUTS III regions of Greece. Four different dependent variables and three model specifications are used to test the hypothesis of regional convergence. The overall evidence does not reject the idea of regional convergence. The estimated convergence coefficients are relatively similar across the three model specifications but they vary with the dependent variable used to measure convergence.
37 citations
Cited by
More filters
Posted Content•
TL;DR: A theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification.
Abstract: Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.
4,284 citations
Posted Content•
TL;DR: In this article, the results of the simulation experiments are summarized by means of response surface regressions in which critical values depend on the sample size and can be read off directly, and critical values for any finite sample size can easily be computed with a hand calculator.
Abstract: [The original version of this paper appeared as a University of California San Diego working paper in 1990 but has since disappeared from the web. This version includes a new appendix.] This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by means of response surface regressions in which critical values depend on the sample size. From these regressions, asymptotic critical values can be read off directly, and critical values for any finite sample size can easily be computed with a hand calculator. Added in 2010 version: A new appendix contains additional results that are more accurate and cover more cases than the ones in the original paper.
3,211 citations
Posted Content•
TL;DR: The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.
Abstract: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.
2,797 citations
TL;DR: In this article, the causal relationship between carbon dioxide emissions, electricity consumption and economic growth within a panel vector error correction model for five ASEAN countries over the period 1980-2006 was examined.
696 citations
TL;DR: In this paper, the authors present a risk management approach for value at risk and beyond in the context of risk management, which is based on the concept of Value at Risk and Beyond.
Abstract: (2003). Risk Management: Value at Risk and Beyond. Journal of the American Statistical Association: Vol. 98, No. 462, pp. 494-494.
612 citations