43 datasets found

Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a...

This paper discusses the estimation of a class of nonlinear state space models including nonlinear panel data models with autoregressive error components. A health economics...

In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood...

We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation,...

This paper considers estimation of censored panel-data models with individual-specific slope heterogeneity. The slope heterogeneity may be random (random slopes model) or...

We develop a panel data model explaining answers to subjective probabilities about binary events and estimate it using data from the Health and Retirement Study on six such...

This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990-2003. This is done using maximum likelihood estimation, taking into...

This paper assesses intra-sectoral spillovers in total factor productivity (TFP) across Chinese producers in the chemical industry using panel data on 12,552 firms observed over...

This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the...

We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with...

This paper considers identification of spatial Durbin dynamic panel models under 2SLS and ML estimations. We show that the parameters are generally identified via 2SLS moment...

This paper proposes a unified framework for accommodating both time and cross-sectional dependence in modelling technical efficiency in stochastic frontier models by combining...

We revisit the growth empirics debate using a novel limited-information Bayesian model averaging framework in short T panels that addresses model uncertainty, dynamics, and...

This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses...

This paper considers panel growth regressions in the presence of model uncertainty and reverse causality concerns. For this purpose, my econometric framework combines Bayesian...

We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854-871) are contingent on the specification of the model. The use of...

Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation....

This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test...

The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22:...

We develop a panel count model with a latent spatio-temporal heterogeneous state process for monthly severe crimes at the census-tract level in Pittsburgh, Pennsylvania. Our...