Search Results

The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications,
Christian Hansen and Yuan Liao, from University Library of Munich, Germany (2016)
Keywords: panel data, treatment effects

Efficient estimation of heterogeneous coefficients in panel data models with common shock,
Kunpeng Li and Lina Lu, from University Library of Munich, Germany (2014)
Keywords: Factor analysis; Block diagonal covariance; Panel data models; Common shocks; Maximum likelihood estimation, heterogeneous coefficients; Inferential theory

The Past, Present, and Future of FDI: Towards a better Global Economics,
Sana Ullah, Ahmed Usman and Muhammad Imran, in Journal of Quantitative Methods (2019)
Keywords: human capital; panel data; FDI

DETERMINANTS OF INVESTMENT FLOWS INTO EMERGING MARKETS,
Carlos Andrés Amaya G. and Peter Rowland, from Banco de la Republica (2004)
Keywords: Foreign direct investment;

INTEREST RATE SETTING AND THE COLOMBIAN MONETARY TRANSMISSION MECHANISM,
Carlos Andrés Amaya G., from Banco de la Republica (2005)
Keywords: Banks,

The influence analysis on public expenditure to the technique efficiency of China,
Xun Chen and Jie Yu, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2006)
Keywords: public expenditure, stochastic frontier, TFP, decomposition

Asymptotic distribution of factor augmented estimators for panel regression,
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul, in Journal of Econometrics (2012)
Keywords: Factor augmented panel regression; Factor augmented estimator; Principal component augmented estimator; Cross section dependence; Interactive fixed effects;

Estimating the number of common factors in serially dependent approximate factor models,
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul, in Economics Letters (2012)
Keywords: Factor model; Prewhitening; Least squares dummy variable (LSDV) filter; Factor number estimation; Cross-section dependence;

Panel Data Models,
Marno Verbeek, in Applied Econometrics (2006)
Keywords: panel data;

New Panel Unit Root Tests under Cross Section Dependence for Practitioners,
Donggyu Sul, from University Library of Munich, Germany (2005)
Keywords: recursive detrending, panel unit root tests, cross section dependence

SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects,
Peter Egger, from International Conferences on Panel Data (2002)
Keywords: Panel Econometrics; Serial Correlation; Seemingly unrelated regressions; Endogenous effects

Crecimiento Económico y Gasto Público: Una Interpretación de las Experiencias Internacionales y del Caso Colombiano (1982-1999),
Carlos Posada and José Fernando Escobar, from Banco de la Republica (2003)
Keywords: Crecimiento Economico,

Likelihood corrections for two-way models,
Koen Jochmans and Taisuke Otsu, from London School of Economics and Political Science, LSE Library (2019)
Keywords: fixed effects; information bias; modified profile likelihood; panel data; penalization; rectangular-array asymptotics

Likelihood Corrections for Two-way Models,
Koen Jochmans and Taisuke Otsu, in Annals of Economics and Statistics (2019)
Keywords: Fixed Effects, Information Bias, Modified Profile Likelihood, Panel Data, Penalization, Rectangular-Array Asymptotics

Current account sustainability in advanced economies,
Matteo Lanzafame, from University Library of Munich, Germany (2012)
Keywords: Current account sustainability; panel unit root tests; nonlinearity

Bias-corrected estimation of panel vector autoregressions,
Geert Dhaene and Koen Jochmans, in Economics Letters (2016)
Keywords: Bias correction; Fixed effects; Panel data; Vector autoregression;

Weak σ-convergence: Theory and applications,
Jianning Kong, Peter Phillips and Donggyu Sul, in Journal of Econometrics (2019)
Keywords: Asymptotics under misspecified trend regression; Cross section dependence; Evaporating trend; Relative convergence; Trend regression; Weak σ-convergence;

Indirect Inference Estimation of a First-Order Dynamic Panel Data Model,
Yong Bao, in Journal of Quantitative Economics (2021)
Keywords: Dynamic panel, Indirect inference, Bias

Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data,
Dean Hyslop and Wilbur Townsend, from Motu Economic and Public Policy Research (2016)
Keywords: Panel data, earnings dynamics, measurement error, validation study

Leverage and asymmetric volatility: The firm-level evidence,
Jan Ericsson, Xiao Huang and Stefano Mazzotta, in Journal of Empirical Finance (2016)
Keywords: Financial leverage; Stock volatility; Panel data; Vector autoregression;

Forecasting with Panel Data,
Badi Baltagi, from Center for Policy Research, Maxwell School, Syracuse University (2007)
Keywords: forecasting; BLUP; panel data; spatial dependence; serial correlation; heterogeneous panels.

Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals,
Badi Baltagi, Chihwa Kao and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2007)
Keywords: Panel data, OLS, Fixed-effects, First-difference, GLS.

Consistent Estimation with Weak Instruments in Panel Data,
Chihwa Kao and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2007)
Keywords: Weak instrument; Two stage least squares; Panel data; Concentration parameter.

Panel Data Inference under Spatial Dependence,
Badi Baltagi and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2010)
Keywords: Panel data; Hausman test; Random effect; Spatial autocorrelation; Maximum Likelihood.

Seemingly Unrelated Regressions with Spatial Error Components,
Badi Baltagi and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2010)
Keywords: Seemingly unrelated regressions, panel data, spatial dependence, heterogeneity, forecasting.

Spatial Lag Models with Nested Random Effects: An Instrumental Variable Procedure with an Application to English House Prices,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2013)
Keywords: House Prices; Panel Data; Spatial Lag; Nested Random Effects; In-strumental Variables; Spatial Dependence

Predication in a Generalized Spatial Panel Data Model with Serial Correlation,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2016)
Keywords: Prediction; Panel Data; Fixed Effects; Random Effects; Serial Correlation; Spatial Error Correlation

Forecasting with Unbalanced Panel Data,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2020)
Keywords: Forecasting, BLUP, Unbalanced Panel Data, Unequally Spaced Panels, Serial Correlation

The Two-way Mundlak Estimator,
Badi Baltagi, from Center for Policy Research, Maxwell School, Syracuse University (2023)
Keywords: Mundlak Regression, Panel Data, Fixed and Random Effects, Two-way error components model, Hausman test

The Mundlak Spatial Estimator,
Badi Baltagi, from Center for Policy Research, Maxwell School, Syracuse University (2023)
Keywords: Mundlak Regression, Panel Data, Fixed and Random Effects, Spatial error model, Spatial Durbin model

The day-of-the-week effect is weak: Evidence from the European Real Estate Sector,
Georgios Bampinas, Stilianos Fountas and Theodore Panagiotidis, from Department of Economics, University of Macedonia (2015)
Keywords: day-of-the-week effect, real estate indices, rolling regressions, GARCH, data mining.

Are Gold and Silver a Hedge against Inflation? A Two Century Perspective,
Georgios Bampinas and Theodore Panagiotidis, from Department of Economics, University of Macedonia (2015)
Keywords: gold prices, silver prices, inflation hedge, time-varying cointegration.

Does asymmetric information affect the premium in mergers and acquisitions?,
Georges Dionne, Mélissa La Haye and Anne-Sophie Bergerès, in Canadian Journal of Economics (2015)

The two-way Hausman and Taylor estimator,
Badi Baltagi, in Economics Letters (2023)
Keywords: Two-way error components model; Panel data; Fixed and random effects; Hausman test; Hausman and Taylor estimator.;

The multidimensional Mundlak estimator,
Badi Baltagi, in Economics Letters (2024)
Keywords: Mundlak regression; Panel data; Fixed and random effects; Multidimensional error components model; Hausman test;

The Mundlak spatial estimator,
Badi Baltagi, in Journal of Spatial Econometrics (2023)
Keywords: Mundlak regression, Panel data, Fixed and random effects, Spatial error model, Spatial Durbin model

MULTILEVEL AND SPILLOVER EFFECTS ESTIMATED FOR SPATIAL PANEL DATA, WITH APPLICATION TO ENGLISH HOUSE PRICES,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, in Region et Developpement (2014)
Keywords: HOUSE PRICES, PANEL DATA, SPATIAL LAG, NESTED RANDOM EFFECTS, INSTRUMENTAL VARIABLES, SPATIAL DEPENDENCE

Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, in Journal of Urban Economics (2014)
Keywords: House prices; Panel data; Spatial lag; Nested random effects; Instrumental variables; Spatial dependence;

Forecasting with panel data,
Badi Baltagi, from Deutsche Bundesbank (2006)
Keywords: Forecasting, BLUP, Panel Data, Spatial Dependence, Serial Correlation

Estimating and forecasting with a dynamic spatial panel data model,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, from London School of Economics and Political Science, LSE Library (2011)
Keywords: panel data; spatial lag; error components; linear predictor; GMM; spatial autocorrelation

Some Current Issues in the Statistical Analysis of Spillovers,
Daniela Gumprecht, Nicole Gumprecht and Werner Müller, from Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness (2003)
Keywords: Panel data; fixed effects; random coefficients; DOLS; R&D spillover

Panel Data Models: Some Recent Developments,
Manuel Arellano and B. Honore, from Centro de Estudios Monetarios Y Financieros- (2000)
Keywords: ECONOMETRICS ; MODELS ; TIME SERIES

Dynamic analysis of multivariate panel data with nonlinear transformations,
Kees van Montfort and Catrien Bijleveld, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1997)

The bank lending channel in an euroised economy: the case of Serbia,
Srdjan Kujundzic and Dragiša Otaševic, from National Bank of Serbia (2012)
Keywords: bank lending channel; Serbia; euroised economy; small-size dynamic panel estimation

The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications,
Christian Hansen and Yuan Liao, from Rutgers University, Department of Economics (2016)
Keywords: treatment effects, panel data

Is Arbitration Addictive? Evidence From the Laboratory and the Field,
Janet Currie and Henry Farber, from Princeton University, Department of Economics, Industrial Relations Section. (1992)

Forecasting with Spatial Panel Data,
Badi Baltagi, Georges Bresson and Alain Pirotte, from Institute of Labor Economics (IZA) (2009)
Keywords: BLUP, panel data, spatial dependence, forecasting, heterogeneity

Indirect Inference for Dynamic Panel Models,
Christian Gouriéroux, Peter Phillips and Jun Yu, from East Asian Bureau of Economic Research (2006)
Keywords: Autoregression, Bias Reduction, Dynamic panel

Estimating and Forecasting with a Dynamic Spatial Panel Data Model,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, from Centre for Economic Performance, LSE (2011)
Keywords: Panel data, spatial lag, error components, linear predictor, GMM, spatial autocorrelation

Reliability of Structural Shocks Estimates from a Bivariate SVAR Model: The Case of Southeast Asian Countries,
Arief Ramayandi, from Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University (2006)

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence,
Peter Phillips and Donggyu Sul, from Yale School of Management (2004)
Keywords: Autoregression, bias, cross section, dependence, dynamic factors, dynamic panel estimation, incidental trends, panel unit root

Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes,
Ruediger Fahlenbrach and Patrik Sandas, from Ohio State University, Charles A. Dice Center for Research in Financial Economics (2005)

Is Foreign Direct Investment Productive in the Latin America Case? A Panel Unit Root and Panel Cointegration Analysis, 1980-2001,
Miguel Ramirez, from Yale University, Department of Economics (2007)

Are Foreign and Public Capital Productive in the Mexican Case? A Panel Unit Root and Panel Cointegration Analysis,
Miguel Ramirez, from Yale University, Department of Economics (2008)

Kajian Komoditas Pangan Strategis: Faktor Determinasi Variasi Harga Antardaerah,
Masagus M Ridhwan, Indriani Karlina and Yanfitri, from Bank Indonesia (2012)
Keywords: Interregional Price Variability, Strategic Food Commodities, Panel Data

Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity,
Jeffrey Wooldridge, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002)

Weak s- Convergence: Theory and Applications,
Jianning Kong, Peter Phillips and Donggyu Sul, from Cowles Foundation for Research in Economics, Yale University (2017)
Keywords: Asymptotics under misspecified trend regression, Cross section dependence, Evaporating trend, Relative convergence, Trend regression, Weak s-convergence

Indirect Inference for Dynamic Panel Models,
Christian Gourieroux, Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2006)
Keywords: Autoregression, Bias reduction, Dynamic panel, Fixed effects, Indirect inference

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence,
Peter Phillips and Donggyu Sul, from Cowles Foundation for Research in Economics, Yale University (2004)
Keywords: Autoregression, Bias, Cross section dependence, Dynamic factors, Dynamic panel estimation, Incidental trends, Panel unit root

Panel Cointegration Techniques and Open Challenges,
Peter Pedroni, from Department of Economics, Williams College (2018)
Keywords: Panel Time Series, Cointegration, Nonstationary Panels, Nonlinear Panels

Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures,
Massimiliano Marcellino, from European University Institute (1997)
Keywords: TIME SERIES ; MODELS

Securities Estimation Techniques in Republic of Moldova,
Ala Roller, Ana Berdila and Dorian Nacu, in Knowledge Horizons - Economics (2010)
Keywords: Technical analysis; fundamental analysis; intrinsic value; financial flows; securities market

Analysis of ß-Convergence. From Traditional Cross-Section Model to Dynamic Panel Model,
Joanna Gorna, Karolina Gorna and Elzbieta Szulc, in Dynamic Econometric Models (2013)
Keywords: economic convergence, spatial effects, connectivity matrix, spatial panel models.

QUALITY METRICS FOR IT PROJECT MANAGEMENT,
Felician Alecu, Paul Pocatilu and Radu Marsanu, from Faculty of Economic Cybernetics, Statistics and Informatics, Academy of Economic Studies and National Defence University "Carol I", DEPARTMENT FOR MANAGEMENT OF THE DEFENCE RESOURCES AND EDUCATION (2009)
Keywords: Project Management, Information Technology, Metrics, Pareto Principle

The Model Selection Curse,
Kfir Eliaz and Ran Spiegler, in American Economic Review: Insights (2019)

Testing-Based Forward Model Selection,
Damian Kozbur, in American Economic Review (2017)

Cointegration implications of linear rational expectation models,
John Juselius, from Bank of Finland (2008)
Keywords: rational expectations, cointegration

Some Tools for Robustifying Econometric Analyses,
Victor Hoornweg, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2013)
Keywords: robust, ad hoc, automated, algorithm, update, combine, forecast

Spurious Principal Components,
Philip Hans Franses and Eva Janssens, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2017)
Keywords: Principal Component Regression, Pre-whitening, Spurious Regressions

Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds,
Pedro Silva, from Católica Porto Business School, Universidade Católica Portuguesa (2009)
Keywords: Variable Selection Algorithms; All-Subsets; Heuristics

Specification testing in discretized diffusion models: Theory and practice,
Jiti Gao and Isabel Casas, from University Library of Munich, Germany (2007)
Keywords: Continuous-time diffusion process; kernel method; nonparametric testing; power function; size function; time series econometrics

Unit Root Tests With Markov-Switching,
Qin Xiao and Gee Kwang Randolph Tan, from Society for Computational Economics (2005)
Keywords: unit root, bootstrap, Markov-Switching

Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market,
A.A. Al-Sharkas, in International Journal of Applied Econometrics and Quantitative Studies (2004)
Keywords: Stock Market, Dynamic Relations, Cointegration, Jordan

Estimating labour supply responses and welfare participation: Using a natural experiment to validate a structural labour supply model,
Jorgen Hansen and Xingfei Liu, in Canadian Journal of Economics (2015)

The misuse of the Vuong test for non-nested models to test for zero-inflation,
Paul Wilson, in Economics Letters (2015)
Keywords: Non-nested models; Zero-inflation; Vuong test;

The NNP and Sustainability in Open Economy: Highlights on Recent World Economy and on Open Economy of Bangladesh,
Dr Haradhan Mohajan, from University Library of Munich, Germany (2011)
Keywords: Net national product, Open economy, Social Welfare and Sustainability.

Should the Dea's Stride Data Be Used for Economic Analyses of Markets for Illegal Drugs?,
Joel L. Horowitz, from University of Iowa, Department of Economics (2000)
Keywords: price index, sample design, cocaine, heroin

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality,
Gabriele Fiorentini, Enrique Sentana and Giorgio Calzolari, from Centro de Estudios Monetarios Y Financieros- (2000)
Keywords: MODELS ; TESTS ; DISTRIBUTION

Los ciclos ganaderos en Colombia, 1950-2001,
Gerson Javier Pérez V, from Banco de la República, Economía Regional (2004)
Keywords: Ciclo ganadero

Forecasting Seasonal UK Consumption Components,
Michael Clements and J. Smith, from University of Warwick, Department of Economics (1997)
Keywords: SEASONAL FLUCTUATIONS

First Announcements and Real Economic Activity,
Michael Clements and Ana Galvão, from University of Warwick, Department of Economics (2009)
Keywords: Announcements ; real activity ; data measurement ; revisions

Making a match: combining theory and evidence in policy-oriented macroeconomic modelling,
Alasdair Scott, George Kapetanios and Adrian Pagan, from Society for Computational Economics (2005)
Keywords: economic model

A Measure of Robustness to Misspecification,
Susan Athey and Guido Imbens, in American Economic Review (2015)

Técnicas de Muestreo y Tamaños de Muestra para Evaluaciones de Impacto,
Pablo Lavado, from Fondo Editorial, Universidad del Pacífico (2015)
Keywords: impact evaluation, sampling techniques

Lack of Credibility, Inflation Persistence and Disinflation in Colombia,
Andres Gonzalez and Franz Hamann, in Revista Desarrollo y Sociedad (2011)
Keywords: Credibility, inflation, persistence, disinflation costs, Colombia.

Lack of Credibility, Inflation Persistence and Disinflation in Colombia,
Andres Gonzalez and Franz Hamann, from Banco de la Republica (2011)
Keywords: Credibility, inflation, persistence, disinflation costs, Colombia.

Union Membership in the United States: The Decline Continues,
Henry Farber and Alan Krueger, from Princeton University, Department of Economics, Industrial Relations Section. (1992)
Keywords: union membership, demand for unions

A Note on the Flexibility of the Barnett and Hahm Functional Form,
Walter Diewert, from Vancouver School of Economics (2015)
Keywords: Flexible functional forms, unit profit functions, duality, Barnett and Hahm functional form, substitutes and complements in production, Barnett regula

A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples,
James Heckman and Petra Todd, from Institute of Labor Economics (IZA) (2009)
Keywords: propensity scores, matching models, choice-based sampling, selection models

A Robust Criterion for Determining the Number of Factors in Approximate Factor Models,
Lucia Alessi, Matteo Barigozzi and Marco Capasso, from ULB -- Universite Libre de Bruxelles (2009)
Keywords: Approximate factor models; information criterion; model selection.