A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzle— the so called “state-share paradox.”The empirical evidence shows...

A government policy regarding the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sus- tained depression even after policy adjustments constitutes a puzzle— the so called “state-share paradox.”The empirical evidence shows...

In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both varying intercepts and slopes. These tests are (i) Kao (1999) Tests (both Dickey-Fuller (DF) and augmented Dickey-Fuller (ADF) types of cointegration tests in panel data), (ii)...

A new class of specification tests is proposed to detect for neglected nonlinearity and dynamic misspecification in panel models. The tests can detect a wide range of model misspecifications while being robust to conditional heteroskedasticity and higher order time-varying moments of unknown...

In this research, we investigate the dynamic of the capital structure, using panel data techniques. A sample of new high-tech German Firms over the period 1998-2002 is used to specifically establish the determinants of a time-varying optimal capital structure. We consider the dynamic models,...

This paper utilizes a nonparametric panel data sample selection model to correct selection bias in the analysis of longitudinal medical claims data. Selection bias in the health economics data is a common problem and many health economists have used Heckman type selection models in...

This paper applies a stochastic frontier production model to the data from Penn World Table’s 49 countries over the period 1965-1990, to decompose total factor productivity growth into technical change and technical efficiency change. Empirical results show East Asian countries led the...

This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time. In addition, the model allows for heterogeneity across the spatial units using random effects. The...

This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental...

This paper considers maximum likelihood (ML) based inferences for dynamic panel data models. We focus on the analysis of the panel data with a large number of cross-sectional units and a small number of repeated time-series observations for each cross-sectional unit. We examine several different...