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Comparative Advantage, the Rank-size Rule, and Zipf's Law

Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Institute - 2006

Using a comprehensive international trade data set we investigate empirical regularities (known as Zipf’s Law or the rank-size rule) for the distribution of the interaction between countries as measured by revealed comparative advantage. Using the recently developed estimator by Gabaix and...

Persistent link: https://www.econbiz.de/10005144482

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Institute - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10005450790

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Institute - 2009

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …

Persistent link: https://www.econbiz.de/10008531426

The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models

Bun, Maurice J.G.; Kiviet, Jan F. - Tinbergen Institute - 2002

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel …

Persistent link: https://www.econbiz.de/10005136967

On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

Bun, Maurice J.G.; Kiviet, Jan F. - Tinbergen Institute - 2002

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be...

Persistent link: https://www.econbiz.de/10005136972

Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - Tinbergen Institute - 2005

dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …

Persistent link: https://www.econbiz.de/10005137190

The Stickiness of Aggregate Consumption Growth in OECD Countries: A Panel Data Analysis

Everaert, Gerdie; Pozzi, Lorenzo - Tinbergen Institute - 2010

This paper examines the sources of stickiness in aggregate consumption growth. We first derive a dynamic consumption equation which encompasses many recent developments in consumption theory: habit formation, intertemporal substitution effects, consumption based on current income, and...

Persistent link: https://www.econbiz.de/10008693147

Forecasting Productivity Using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10005016264

Forecasting Cross-Sections of Frailty-Correlated Default

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - Tinbergen Institute - 2008

using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk …

Persistent link: https://www.econbiz.de/10005144415

Dynamic Factor Analysis in The Presence of Missing Data

Jungbacker, B.; Koopman, S.J.; Wel, M. van der - Tinbergen Institute - 2009

This paper concerns estimating parameters in a high-dimensional dynamic factor

Persistent link: https://www.econbiz.de/10005144458

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