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Parametric covariance matrix modeling in Bayesian panel regression

Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005

illustrated. -- Bayesian panel regression ; parametric covariance ; model selection …

Persistent link: https://www.econbiz.de/10002595455

Choosing factors in a multifactor asset pricing model : a Bayesian approach

Ericsson, Johan (contributor); Karlsson, Sune (contributor) - 2003 - [Elektronische Ressource], Rev. February 12, 2004

We use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model probabilities. Interest rates, premiums, returns on...

Persistent link: https://www.econbiz.de/10001746452

Testing for unit roots in nonlinear dynamic heterogeneous panels

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

Persistent link: https://www.econbiz.de/10002595402

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

Persistent link: https://www.econbiz.de/10002577852

Financial liberalization, bank crises and growth : assessing the links

Bonfiglioli, Alessandra (contributor); … - 2004 - [Elektronische Ressource]

affects growth directly. The empirical analysis is performed through GMM dynamic panel data estimations on a panel of 90 … development ; institutions ; dynamic panel data …

Persistent link: https://www.econbiz.de/10002380051

Dynamics of technical efficiency and productivity change under central planning : the Romainian cement industry 1966 - 1989

Cotfas, Mihai (contributor); Heshmati, Almas (contributor); … - 2000 - [Elektronische Ressource], Rev. October 2000

-varying efficiency ; panel data ; cement industry ; Romania …

Persistent link: https://www.econbiz.de/10001600014

How fast do banks adjust? : A dynamic model of labor-use with an application to Swedish banks

Kumbhakar, Subal (contributor); Heshmati, Almas (contributor) - 2000 - [Elektronische Ressource]

desired level is modeled in a panel data context. The partial adjustment type model is extended to incorporate firm- and time …-Use ; Panel Data ; Banking Industry …

Persistent link: https://www.econbiz.de/10001600035

Why not use standard panel unit root test for testing PPP

Lyhagen, Johan (contributor) - 2000 - [Elektronische Ressource]

In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity …

Persistent link: https://www.econbiz.de/10001600044

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

normality is established for the consistent subsets. -- Panel data ; serial correlation ; random effects …

Persistent link: https://www.econbiz.de/10001600056

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

during 1968-1987. Empirically, our focus is on measuring the returns to scale and technical change for the industry. -- Panel …

Persistent link: https://www.econbiz.de/10001600058