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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

Inflation tales : the heterogenous price effects from current account dynamics

Afonso, António; Alves, José; Jalles, João Tovar; … - 2024

This paper examines the impact of current account balances on energy, headline, and core inflation across developed and developing economies from 1980 to 2023. Using Panel OLS fixed effects, Panel-IV 2SLS and Panel Vector Autoregressive models, we find that an improvement in the current account...

Persistent link: https://www.econbiz.de/10015134043

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

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...

Persistent link: https://www.econbiz.de/10011305389

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

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/10012405456

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

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

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