Narrow search
Showing 1 - 10 of 1,919
Cover Image
Inequality Measurement and Tax/Transfer Policy
Apps, Patricia F. - 2020
We provide a critique of the standard methodology which bases welfare comparisons between households on deflating household income and consumption by an equivalence scale. We argue that this leads to support for tax/transfer policies that significantly disadvantage low to middle in-come...
Persistent link: https://www.econbiz.de/10012830349
Cover Image
Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters
Heinrich, Markus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012842676
Cover Image
Exponent of Cross-Sectional Dependence for Residuals
Bailey, Natalia - 2018
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...
Persistent link: https://www.econbiz.de/10012908680
Cover Image
Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021
We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...
Persistent link: https://www.econbiz.de/10013251262
Cover Image
Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10013314848
Cover Image
Modelling Profitability of Private Equity : A Fractional Integration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2022
This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...
Persistent link: https://www.econbiz.de/10014080230
Cover Image
Heterogeneous Autoregressions in Short T Panel Data Models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...
Persistent link: https://www.econbiz.de/10014347822
Cover Image
Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data
Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2023
This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...
Persistent link: https://www.econbiz.de/10014262560
Cover Image
Effects of Innovation on Employment : A Dynamic Panel Analysis
Lachenmaier, Stefan; Rottmann, Horst - 2021
This paper estimates the effect of innovation on employment at the firm level. Our uniquely long innovation panel data set of German manufacturing firms covers more than 20 years and allows us to use various innovation measures. We can distinguish between product and process innovations as well...
Persistent link: https://www.econbiz.de/10013317021
Cover Image
The KOF Globalisation Index - Revisited
Gygli, Savina - 2019
We introduce the revised version of the KOF Globalisation Index, a composite index measuring globalization for every … country in the world along the economic, social and political dimension. The original index was introduced by Dreher (2006 …) and updated in Dreher et al. (2008). This second revision of the index distinguishes between de facto and de jure measures …
Persistent link: https://www.econbiz.de/10012892154