We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is inconsistent when applied to our inference...

In a panel data model with fixed effects, possible cross-sectional dependence is investigated in a spatial autoregressive setting. An Edgeworth expansion is developed for the maximum likelihood estimate of the spatial correlation coefficient. The expansion is used to develop more accurate...

The cleanup of the Mediterranean region constitutes one of the main chapters carried by the cooperation between both north and south banks within the framework of the Union for the Mediterranean (UfM). The subject of this paper is to study the relationship between CO2 emissions and economic...

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...

In this work we proposed to analyze the problem of individual heterogeneity in panel data and implement resolution to verify the role of foreign trade on economic growth in Sub-Saharan Africa. The purpose was to verify improvement in terms of specification and estimation of economic growth...

We identify fiscal impulses in the EU New Member States using four different methods and apply econometric panel data techniques to determine what is the response of output and its components to those impulses. We also directly test the effects of fiscal impulses on labor costs and households’...

This article is an attempt to understand the causal factors behind fluctuations in aggregate output. We find an absence of bidirectional causality between the gross domestic product residual and the gross domestic capital formation residual as well as between the GDP residual and the residual of...

This aim of this study is to estimate the price of coffee and cocoa using a methodology based on Hodrick-Prescott filter, Kalman filter and a Markov Switching Model which, unlike linear models, allows the parameters to vary depending on the economic situation, the transitions between regimes are...

I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS...