We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel … methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be … eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM … finite sample performance of our GMM estimators. …

commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to …

How damaging are uncertainty shocks during extreme events such as the great recession and the Covid-19 outbreak? Can … activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … framework featuring a concept of uncertainty comparable to that in our VAR. We employ the DSGE model to quantify the impact on …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

the International Country Risk Guide database over the 1984 to 2016 period. Based on the recently developed method of … Cross- Sectionally Augmented ARDL approach of Chudik and Pesaran (2015b), and the panel threshold estimation of Chudik et al …. (2017) our main findings are the following: i) countries experiencing a high degree of corruption, a high risk to investment …

trade using a theory-consistent structural gravity model. We exploit a rich panel data set including domestic trade flows …

The paper analyses the empirical relationship between immigrants and crime using panel data for 391 German … administrative districts between 2003 and 2016. Employing different standard panel estimation methods, we show that there is no …, omitted variables and spatial correlation. Furthermore, taking advantage of the panel-structure of the data set we employ an …

result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample …