We extend the three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian, and Prucha (2007), which corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent variable as additional explanatory...

The question whether exchange rate risk a¤ects trade has received considerable attention in the literature. However, the conclusions are still mixed. This paper analyzes why it is so difficult to obtain a clear answer from time series analyses. We use data on bilateral aggregate US exports to...

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allow- ing their coeffcients to vary over time. Focusing on conditional heteroscedas- ticity models, we discuss various strategies to identify and estimate...

The Netherlands experienced a major increase in the number of jobs over the past decade.We show that the spectacular growth of the number of part-time jobs was an important reason for employment growth and the related decline in unemployment.

In this paper we confront sensitivity analysis with diagnostic testing.Every model is misspecified, but a model is useful if the parameters of interest (the focus) are not sensitive to small perturbations in the underlying assumptions. The study of the e ect of these violations on the focus is...