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Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in economics as conditions for balanced growth,...

Persistent link: https://www.econbiz.de/10013041372

Large panel data models with cross-sectional dependence : a survey

Chudik, Alexander; Pesaran, M. Hashem - 2013

This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...

Persistent link: https://www.econbiz.de/10009786037

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013176894

Dynamic models of R&D, innovation and productivity : panel data evidence for Dutch and French manufacturing

Raymond, Wladimir; Mairesse, Jacques; Mohnen, Pierre A.; … - 2013

This paper introduces dynamics in the R&D to innovation and innovation to productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

Persistent link: https://www.econbiz.de/10009764446

Twin deficits through the looking glass : time-varying analysis in the euro area

Afonso, António; Coelho, José Carlos - 2022

Using two measures of the fiscal position, the cyclically adjusted primary budget balance (CAPB) and the total budget balance, we assess the Twin Deficit Hypothesis for the Euro Area in the period 1995-2020. Furthermore, we estimate time-varying coefficients of the current account balance...

Persistent link: https://www.econbiz.de/10012813893

A panel data model with generalized higher-order network effects

Baltagi, Badi H.; Ding, Sophia; Egger, Peter - 2020

Many data situations require the consideration of network effects among the cross-sectional units of observation. In this paper, we present a generalized panel model which accounts for two features: (i) three types of network effects on the right-hand side of the model, namely through weighted...

Persistent link: https://www.econbiz.de/10012306579

Climate physical risk and Asian stock market returns

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024

This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...

Persistent link: https://www.econbiz.de/10014583812

Does financial inclusion enhance per capita income in the least developed countries?

Afonso, António; Blanco-Arana, M. Carmen - 2024

Financial inclusion is a key factor for economic growth in most developing countries. This paper examines the relationship between financial inclusion and Gross Domestic Product (GDP) per capita in the Least Developed Countries (LDCs) using panel data for the period 1990-2021. The empirical...

Persistent link: https://www.econbiz.de/10014514949

Dynamics of first-time patenting firms

Nilsen, Øivind Anti; Raknerud, Arvid - 2022

This paper investigates firm dynamics in the period before, during, and after an event consisting of a first published patent application. The analysis is based on patent data from the Norwegian Industrial Property Office merged with data from several business registers covering a period of...

Persistent link: https://www.econbiz.de/10013365124

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10003854425

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