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Testing Convergence in Economic Growth for OECD Countries.

Nahar, S.; Inder, B. - Department of Econometrics and Business Statistics, … - 1998

In this paper we propose a new test procedure with more general steady state information to test the convergence hypothesis for a specific economy. We consider a model where demeaned per capita output of an economy is a function of time trend and then set the convergence hypothesis as negative...

Persistent link: https://www.econbiz.de/10005581162

Semiparametric Estimation in Multivariate Nonstationary Time Series Models

Gao, Jiti; Phillips, Peter C.B. - Department of Econometrics and Business Statistics, … - 2011

its asymptotic properties are derived. Due to endogeneity in the parametric regressors, SLS is not consistent for the …

Persistent link: https://www.econbiz.de/10009318808

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C. B.; Li, Degui; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

Persistent link: https://www.econbiz.de/10010860399

Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach

Kim, Nam H; Saart, Patrick W; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2013

to deal with endogeneity. In the current paper, we establish an alternative control function approach to address the … endogeneity issue in the estimation of the EGPLSI model. We also show that all attractive features of the EGPLSI model discussed … semiparametric technique is an important tool for an empirical analysis of Engel curves, which often involves endogeneity of the …

Persistent link: https://www.econbiz.de/10010860419

Specification Testing in Structural Nonparametric Cointegration

Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014

class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic … covering a class of non-integrable functions. Endogeneity in two general forms is allowed in the models to be tested. A … test is naturally applicable to the case where there is a type of endogeneity inherited in the relationship between the …

Persistent link: https://www.econbiz.de/10010958939

Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2014

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10010958948

Common Shocks in panels with Endogenous Regressors

Forchini, G.; Jiang, Bin; Peng, Bin - Department of Econometrics and Business Statistics, … - 2015

This paper introduces a novel approach to study the effects of common shocks on panel data models with endogenous explanatory variables when the cross section dimension (N) is large and the time series dimension (T) is fixed: this relies on conditional strong laws of large numbers and...

Persistent link: https://www.econbiz.de/10011262822

Inflation, Financial Development and Growth in Transition Countries

Gillman, Max; Harris, Mark N. - Department of Econometrics and Business Statistics, … - 2004

The paper presents panel data evidence for 13 transition countries on inflation, financial development and growth. It contributes to the growth literature by showing that the transition countries conform to developed country evidence in particular with the strong negative effect of inflation on...

Persistent link: https://www.econbiz.de/10005581124

Skilled Immigration and Wages in Australia*

Islam, Asadul; Fausten, Dietrich K. - Department of Econometrics and Business Statistics, … - 2007

to deal with the potential endogeneity of immigration. Unlike most of the previous literature, we use macro data to allow …

Persistent link: https://www.econbiz.de/10005064150

GROWTH AND CAPITAL DEEPENING SINCE 1870: IS IT ALL TECHNOLOGICAL PROGRESS?*

Madsen, Jakob B. - Department of Econometrics and Business Statistics, … - 2009

Based on an asset pricing model this paper shows that traditional growth accounting exercises attribute too much weight to capital deepening and suggests a method to filter out TFP-induced capital-deepening from the estimates. Using data for 16 industrialised countries, it is shown that labour...

Persistent link: https://www.econbiz.de/10005064152