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This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial coefficients differ across the spatial units. It derives conditions under which the spatial coefficients are identified and develops a quasi maximum likelihood (QML) estimation...
Persistent link: https://www.econbiz.de/10011307088
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...
Persistent link: https://www.econbiz.de/10010352410
In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV … design credible identification strategies, aforemost finding candidates for valid instruments. We discuss prominent IV …
Persistent link: https://www.econbiz.de/10012018160
This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …
Persistent link: https://www.econbiz.de/10012018233
interventions. The identification of such causal mechanisms is challenging and typically requires strong assumptions. This paper … discusses identification and estimation of natural direct and indirect effects in so-called double randomization designs that … outcome. We show that such designs allow for identification based on an assumption that is weaker than the assumption of …
Persistent link: https://www.econbiz.de/10011887402
to parameterize identification uncertainty without falling back on ad hoc prior specifications. They are also unable to … mainly the imposition of a highly unrealistic prior for the global impact price elasticity of oil supply. Once identification …
Persistent link: https://www.econbiz.de/10011931916
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10011931979
differences in data sets; (b) differences in remaining biases between different identification strategies; and (c) differences … across identification strategies in their ability to make out-of-sample predictions. We conclude that discrepancies in past …
Persistent link: https://www.econbiz.de/10010274841
is whether such equations are identified. To check identification requires specifying the process for the forcing … is estimated by GMM, relying on statistical criteria to choose instruments. This may result in failure of identification …
Persistent link: https://www.econbiz.de/10010276218
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012207918