In this paper we analyze the asymptotic properties of the popular distribution tail index estimator by B. Hill (1975) for possibly heavy- tailed, heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for processes with extremes that form mixingale sequences, and...

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

The universal method for testing linearity against smooth transition autoregressive (STAR) alternatives is the linearization of the STAR model around the null nuisance parameter value, and performing F-tests on polynomial regressions in the spirit of the RESET test. Polynomial regressors,...

In this paper, we suggest a general framework that allows testing simultaneously for temporal heterogeneity, spatial heterogeneity and spatial autocorrelation in beta-convergence models. Based on a sample of 145 European regions over the 1980-1999 period, we estimate a Seemingly Unrelated...

The aim of this paper is to assess the evolution of regional productivity disparities in the European Union. Using a sample of 205 regions and 8 sectors on the 1975-2000 period, we use Esteban’s shift- share analysis to investigate the extent to which the existing interregional inequalities in...

This paper analyzes the evolution of labor productivity disparities among 145 European regions over 1975-2000 according to the concepts of ƒã- and ƒÒ-convergence and emphasizes the importance of including spatial effects and a disaggregated analysis at a sectoral level. We detect a...

This paper estimates the impact of structural funds on the convergence process between 145 European regions over 1989-1999. Since the majority of these funds finance transportation infrastructures, they induce spillover effects, industry relocation and do not necessarily succeed in reducing...