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Instrumental variables estimation of stationary and nonstationary cointegrating regressions
Robinson, Peter M.; Gerolimetto, M. - London School of Economics (LSE) - 2006
Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions between nonstationary and/or long memory stationary variables where the...
Persistent link: https://www.econbiz.de/10010744959
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Band spectrum regression for cointegrated time series with long memory innovations
Marinucci, D. - London School of Economics (LSE) - 1998
Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are investigated, while OLS are inconsistent due to correlation between the regressor...
Persistent link: https://www.econbiz.de/10010745814
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On determination of cointegration ranks
Li, Qiaoling; Pan, Jiazhu; Yao, Qiwei - London School of Economics (LSE) - 2009
We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987 …). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then … the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown …
Persistent link: https://www.econbiz.de/10010746018
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Asset pricing tests with long run risks in consumption growth
Constantinides, George M.; Ghosh, Anisha - London School of Economics (LSE) - 2008
The Bansal and Yaron (2004) model of long run risks (LLR) in aggregate consumption and dividend growth and its extension that captures potential co- integration of the consumption and dividend levels, are tested on a cross-section of asset classes and rejected using annual data over the period...
Persistent link: https://www.econbiz.de/10011071278
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Multiple local whittle estimation in stationary systems
Robinson, Peter M. - London School of Economics (LSE) - 2007
cointegration, the consistency proof of these implicitly-defined estimates is nonstandard due to the β estimate converging faster …
Persistent link: https://www.econbiz.de/10011071412
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Cooperative environmental governance and waste-to-energy technologies in Asia
Forsyth, Tim - London School of Economics (LSE) - 2006
the Philippines and India, and especially the choice between the technologies of incineration, pyrolysis and …
Persistent link: https://www.econbiz.de/10010884601
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Tenancy in Palanpur
Tyagi, Ashish; Himanshu, Himanshu - London School of Economics (LSE) - 2011
Persistent link: https://www.econbiz.de/10010884721
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Credit in rural India: a case study
Dreze, Jean; Lanjouw, Peter; Sharma, Naresh - London School of Economics (LSE) - 1997
studies of credit in rural India. …
Persistent link: https://www.econbiz.de/10010928701
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Investigating rationality in wage-setting
Bhalotra, Sonia - London School of Economics (LSE) - 1998
This paper investigates the efficiency wage hypothesis and derives a tractable expression for the profit loss incurred by deviations from the efficiency wage. The extent of the wage deviation can be inferred from production function parameters. The resulting profit loss shown to depend upon the...
Persistent link: https://www.econbiz.de/10010928709
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Minority representation and policy choices: the significance of legislator identity
Pande, Rohini - London School of Economics (LSE) - 1999
law in India to test this prediction empirically. The principal finding is that minority representation has increased …
Persistent link: https://www.econbiz.de/10010928746