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On the Finite Sample Properties of Pre-Test Estimators of Spatial Models
Piras, Gianfranco; Prucha, Ingmar R. - 2014
This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the finite sample properties of the pre-test estimators introduced in...
Persistent link: https://www.econbiz.de/10010352352
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Econometric Analysis of Production Networks with Dominant Units
Pesaran, M. Hashem; Yang, Cynthia Fan - 2016
This paper builds on the work of Acemoglu et al. (2012) and considers a production network with unobserved common technological factor and establishes general conditions under which the network structure contributes to aggregate fluctuations. It introduces the notions of strongly and weakly...
Persistent link: https://www.econbiz.de/10011555583
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Increasing longevity and social security reforms
Andersen, Torben M. - 2006
to a wide variety of data generation processes and has lower biases than all of the alternative estimation methods …
Persistent link: https://www.econbiz.de/10010263969
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Natural resources: Curse or blessing?
van der Ploeg, Frederick - 2010
Are natural resources a 'curse' or a 'blessing'? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource...
Persistent link: https://www.econbiz.de/10010270490
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Estimation and inference in large heterogeneous panels with a multifactor error structure
Pesaran, Mohammad Hashem - 2004
This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure … factor loadings differ over the cross section units. The basic idea behind the proposed estimation procedure is to filter the …-section dimension (N) tends to infinity the differential effects of unobserved common factors are eliminated. The estimation procedure …
Persistent link: https://www.econbiz.de/10010276157
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George; Pesaran, Mohammad Hashem - 2005
problems for estimation and inference. This paper compares two alternative methods for carrying out estimation and inference in … application to company returns provides an illustration of the alternative estimation procedures. …
Persistent link: https://www.econbiz.de/10010276160
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General diagnostic tests for cross section dependence in panels
Pesaran, Mohammad Hashem - 2004
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...
Persistent link: https://www.econbiz.de/10010276163
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Random coefficient panel data models
Hsiao, Cheng; Pesaran, Mohammad Hashem - 2004
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients formulation using...
Persistent link: https://www.econbiz.de/10010276164
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Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10013470277
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Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...
Persistent link: https://www.econbiz.de/10010398630