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Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

Mark, Nelson C. - 2002

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed … approximation to the exact finite sample distribution. We use panel dynamic OLS to estimate coefficients of the long-run money … demand function from a panel of 19 countries with annual observations that span from 1957 to 1996. The estimated income …

Persistent link: https://www.econbiz.de/10012469343

Borders and Growth

Spolaore, Enrico - 2002

This paper presents a framework to understand and measure the effects of political borders on economic growth and per capita income levels. We present a model providing a theoretical foundation to estimate empirically the effects of political borders on growth. In our model, political...

Persistent link: https://www.econbiz.de/10012469486

Globalization in historical perspective

Bordo, Michael D. (ed.); Taylor, Alan M. (contributor); … - 2003

Persistent link: https://www.econbiz.de/10013480751

Stock Markets, Banks, and Growth : Panel Evidence

Beck, Thorsten - 2002

This paper investigates the impact of stock markets and banks on economic growth using a panel data set for the period …

Persistent link: https://www.econbiz.de/10012469631

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

Estimating the Long-Run Relationship Between Interest Rates and Inflation : A Response to McCallum

Summers, Lawrence H. - 1984

This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...

Persistent link: https://www.econbiz.de/10012477640

Low-Frequency Robust Cointegration Testing

Müller, Ulrich - 2009

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

Persistent link: https://www.econbiz.de/10012463358

Identification with Imperfect Instruments

Nevo, Aviv - 2008

Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...

Persistent link: https://www.econbiz.de/10012464213

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Benzoni, Luca - 2005

, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes … shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital …

Persistent link: https://www.econbiz.de/10012467438

The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. - 2004

I review and interpret two of Robert Engle's most important contributions: the theory and application of cointegration …

Persistent link: https://www.econbiz.de/10012468270

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