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Technological Imitation and Innovation in New European Union Markets

Uzagalieva, Ainura; Kocenda, Evžen; Menezes, Antonio - CESifo - 2010

progress, and innovation expenditures is analyzed using a gravity model. During the estimation stage, we use appropriate …

Persistent link: https://www.econbiz.de/10008572493

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

Pesaran, M. Hashem; Chudik, Alexander - CESifo - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10008583635

EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2010

We model EU countries’ bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether “old” and “new” EU countries are rated differently and to determine whether “new” ones are assigned lower ratings, ceteris paribus, than...

Persistent link: https://www.econbiz.de/10008583666

Exit Dynamics of Start-up Firms: Does Profit Matter?

Golombek, Rolf; Raknerud, Arvid - CESifo - 2015

We estimate by means of indirect inference a structural economic model where firms’ exit and investment decisions are the solution to a discrete-continuous dynamic programming problem. In the model the exit probability depends on the current capital stock and a measure of short-run...

Persistent link: https://www.econbiz.de/10011124892

Point and Density Forecasts for the Euro Area Using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10010877728

Renewed Momentum in the German Housing Market: Boom or Bubble?

Chen, Xi; Funke, Michael - CESifo - 2013

The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to detect the beginning and the end of potential speculative bubbles in Germany over the sample period...

Persistent link: https://www.econbiz.de/10010877826

Nowcasting Regional GDP: The Case of the Free State of Saxony

Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...

Persistent link: https://www.econbiz.de/10011273092

How Informative are the Subjective Density Forecasts of Macroeconomists?

Kenny, Geoff; Kostka, Thomas; Masera, Federico - CESifo - 2011

In this paper, we propose a framework to evaluate the information content of subjective expert density forecasts using micro data from the ECB’s Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of scoring functions which evaluate the entire predictive...

Persistent link: https://www.econbiz.de/10009386355

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem; Pick, Andreas - CESifo - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10005094212

The Information Content of KOF Indicators on Swiss Current Account Data Revisions

Jacobs, Jan; Sturm, Jan-Egbert - CESifo - 2008

This paper analyses revisions of Swiss current account data, taking into account the actual data revision process and the implied types of revisions. In addition we investigate whether the first release of current account data can be improved upon by the use of survey results as gathered by the...

Persistent link: https://www.econbiz.de/10005181544