This study uses Monte Carlo analysis to investigate the performances of five different meta-analysis (MA) estimators: the Fixed Effects (FE) estimator, the Weighted Least Squares (WLS) estimator, the Random Effects (RE) estimator, the Precision Effect Test (PET) estimator, and the Precision...

Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...

This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a...

This paper studies the Balassa-Samuelson hypothesis in two areas with strong differences in economic development, sixteen OECD countries and sixteen Latin American economies. Applying panel cointegration and bootstrapping techniques that solve for cross-sectional dependence problems in the data,...

A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic ‘fundamentals’, (ii) return/volatility of asset markets and (iii)...

The paper studies the effects of credible disinflation in the presence of real wage rigidity, comparing the Calvo and Rotemberg price setting mechanisms (the two popular variants of the New-Keynesian model). In both types of models, a credible, gradual disinflation is shown to lead to a delayed...

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or...

Endogeneous growth theory views externalities and particularly externalities associated with knowledge spillovers as the engine of economic growth. In some influential papers (e.g. Glaeser et al. 1992) it is argued that these knowledge spillovers do not transmit costlessly over space. Rather,...