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Parametric Estimation of Quadratic Term Structure Models of Interest Rate
Chen, Li; Poor, H. Vincent - EconWPA - 2002
Nonlinear filtering techniques and the quasi maximum likelihood estimator (QMLE) are applied to the problem of estimating the parameters of quadratic models for the term structure of interest rates. It is assumed that zero coupon bond yields data have been contaminated by noise, which allows the...
Persistent link: https://www.econbiz.de/10005119216
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UNDERSTANDING THE DETERMINANTS OF ICTS DIFFUSSION IN ECOWAS
NWAOBI, GODWIN CHUKWUDUM - EconWPA - 2004
The Information and Communication technology(ICT) environment in the economic community of west african states(ECOWAS) has changed sufficiently to warrant re-conceptualization of the earlier initiatives. Notably, many new technologies have emerged, especially in the area of wireless...
Persistent link: https://www.econbiz.de/10005118855
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Technical Efficiency of Australian Wool Production: Point and Confidence Interval Estimates
Fraser, Iain; Horrace, William C. - EconWPA - 2002
A balanced panel of data is used to estimate technical efficiency, employing a fixed-effects stochastic frontier …
Persistent link: https://www.econbiz.de/10005076575
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Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming
Druska, Viliam; Horrace, William C. - EconWPA - 2002
We consider estimation of a panel data model where disturbances are spatially correlated in the cross …-sectional dimension, based on geographic or economic proximity. When the time dimension of the data is large, spatial correlation … parameters may be consistently estimated. When the time dimension is small (the usual panel data case), we develop an estimator …
Persistent link: https://www.econbiz.de/10005062574
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SEMIPARAMETRIC ESTIMATION OF REGRESSION MODELS FOR PANEL DATA
Horowitz, Joel L.; Markatou, Marianthi - EconWPA - 1993
Linear models with error components are widely used to analyze panel data. Some applications of these models require …
Persistent link: https://www.econbiz.de/10005119172
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Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots
Silva, Ricardo Gonçalves - EconWPA - 2004
In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain...
Persistent link: https://www.econbiz.de/10005407984
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Tests for cointegration in panels with regime shifts
Gutierrez, Luciano - EconWPA - 2005
In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method … proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the … regressions. We derive the panel tests for the ADF, Za, Zt tests , and compare these tests with Pedroni’s (1999) panel …
Persistent link: https://www.econbiz.de/10005119193
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Wage and Productivity Differentials in Private and Public
Ozmucur, Suleyman - EconWPA - 2003
A model is used to study the impact of ownership on productivity and wages. Data on private and public manufacturing in Turkey during the 1950-1998 period indicate that productivity is higher in the private sector.There is a close relationship between wages and productivity in the private...
Persistent link: https://www.econbiz.de/10005561408
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Growth, private investment and reforms : A comparative perspective
KAMEL, Ghazouani - EconWPA - 2005
In this paper we empirically analyse the linkages among growth, investment and reforms in the South East Asian countries, in the North Africa and in the non CFA Sub-Saharan Africa economies over 1970-89 to 2003. These regions differ considerably among them selves as well as with regard to the...
Persistent link: https://www.econbiz.de/10005556730
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A note on Measurement Error and Euler Equations: an Alternative to Log-Linear Approximations
Ventura, Eva - EconWPA - 2003
Empirical research based on panel data has to pay special attention to measurement errors. Utility maximization often …
Persistent link: https://www.econbiz.de/10005119368