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Diebold, Francis; Inoue, Atsushi - National Bureau of Economic Research (NBER) - 2000

The theoretical and empirical econometric literatures on long memory and regime switching have evolved largely independently, as the phenomena appear distinct. We argue, in contrast, that they are intimately related, and we substantiate our claim in several environments, including a simple...

Persistent link: https://www.econbiz.de/10005725320

Small Sample Properties of Generalized Method of Moments Based Wald Tests

Eichenbaum, Martin; Burnside, Craig - National Bureau of Economic Research (NBER) - 1994

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

Persistent link: https://www.econbiz.de/10005725340

Specification Testing in Panel Data With Instrumental Variables

Metcalf, Gilbert E. - National Bureau of Economic Research (NBER) - 1996

panel data set. It shows that the correlated fixed effects specification tests developed by Hausman and Taylor (1981) extend … in an analogous way to panel data sets with endogenous right hand side variables. In the panel data context, different …

Persistent link: https://www.econbiz.de/10005725355

Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity

Gospodinov, Nikolay - Society for Computational Economics - SCE - 2001

Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...

Persistent link: https://www.econbiz.de/10005537771

Testing stationarity of AR(1) process with symmetric stable disturbance

Greszta, Michal - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537791

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...

Persistent link: https://www.econbiz.de/10005025630

Panel Data Estimators for Nonseparable Models with Endogenous Regressors

Altonji, Joseph G.; Matzkin, Rosa Liliana - National Bureau of Economic Research (NBER) - 2001

We propose two new estimators for a wide class of panel data models with nonseparable error terms and endogenous … depend on the explanatory variables once one conditions on z. In some panel data cases we may find z by making the assumption … in the panel is exchangeable in the values of those explanatory variables. This situation may be realistic, in particular …

Persistent link: https://www.econbiz.de/10005832246

Has medical innovation reduced cancer mortality?

Lichtenberg, Frank - National Bureau of Economic Research (NBER) - 2010

I analyze the effects of four types of medical innovation and cancer incidence on U.S. cancer mortality rates during the period 2000-2009, by estimating difference-in-differences models using longitudinal (annual) data on about 60 cancer sites (breast, colon, etc.). The outcome measure used is...

Persistent link: https://www.econbiz.de/10008619309

"Healthy, Wealthy and Wise?" Revisited: An Analysis of the Causal Pathways from Socio-economic Status to Health

Winter, Joachim; Stowasser, Till; Heiss, Florian; … - National Bureau of Economic Research (NBER) - 2011

Much has been said about the stylized fact that the economically successful are not only wealthier but also healthier than the less affluent. There is little doubt about the existence of this socio-economic gradient in health, but there remains a vivid debate about its source. In this paper, we...

Persistent link: https://www.econbiz.de/10009226774

Dynamic Models of R&D, Innovation and Productivity: Panel Data Evidence for Dutch and French Manufacturing

MAIRESSE, Jacques; Mohnen, Pierre; Raymond, Wladimir; … - National Bureau of Economic Research (NBER) - 2013

This paper introduces dynamics in the R&D to innovation and innovation to productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

Persistent link: https://www.econbiz.de/10010696630