The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...

Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort...

Duverger (1954) noted that changes in electoral systems will have two types of effects: mechanical effects, and reactions of political agents in anticipation of these, which he referred to as psychological effects. It is complicated to empirically separate the two effects since these occur...

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...

In this paper we consider the problem of interpreting the signs of the estimated coefficients in multivariate time series regressions where the regressors are correlated. Using a continuous time model, we argue that focussing on the signs of individual coefficients in such regressions could be...

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...

Theoretical models of growth and trade suggest that patterns of international specialisation are inherently dynamic and evolve endogenously over time. Initial comparative advantages are either reinforced or gradually unwound with the passage of time. This paper put forward an empirical framework...

The aim of the study is to explain if the foreclosure effect on prices is explained by a lower quality of foreclosed houses, which is a crucial aspect in the intelligibility of foreclosures. Based on a novel and comprehensive dataset, we estimate the impact of foreclosure on home prices in...

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...

With the increasing importance of the service-providing sectors, information from these sectors has become essential to the understanding of contemporary business cycles. This paper explores the usefulness of the transportation services output index (TSI) as an additional coincident indicator in...