Narrow search
Showing 1 - 10 of 1,556
Cover Image
Bayesian estimation of epidemiological models : methods, causality, and policy trade-offs
Arias, Jonas E.; Fernández-Villaverde, Jesús; … - 2021
We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to … distribution. We show how to use the posterior simulation outputs as inputs for exercises in causality assessment. We apply our …
Persistent link: https://www.econbiz.de/10012494833
Cover Image
Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find …
Persistent link: https://www.econbiz.de/10013380503
Cover Image
Jointness of growth determinants
Doppelhofer, Gernot (contributor); Weeks, Melvyn (contributor) - 2007
Persistent link: https://www.econbiz.de/10003497528
Cover Image
Trimmed mean group estimation of average treatment effects in ultra short T panels under correlated heterogeneity
Pesaran, M. Hashem; Yang, Liying - 2023
Under correlated heterogeneity, the commonly used two-way fixed effects estimator is biased and can lead to misleading inference. This paper proposes a new trimmed mean group (TMG) estimator which is consistent at the irregular rate of n 1/3 even if the time dimension of the panel is as small as...
Persistent link: https://www.econbiz.de/10014393231
Cover Image
The econometrics of oil market VAR Models
Kilian, Lutz; Zhou, Xiaoqing - 2020
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/10012174841
Cover Image
Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2022
This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large … micro-, meso-, and macroeconomic levels. The paper outlines the estimation approach, illustrates its suitability by …
Persistent link: https://www.econbiz.de/10012817934
Cover Image
The loan puzzle : a study of loans to different groups in the USA.
Cafiso, Gianluca - 2020
We study loans from banking and non-banking lenders to different groups of borrowers in order to unveil significant differences on how those respond to a shock and evaluate possible alternative explanations for such differences. The objective is to gain insights useful to explain the loan...
Persistent link: https://www.econbiz.de/10012194423
Cover Image
From shopping to statistics : tracking and nowcasting private consumption expenditures in real-time
Fourné, Friederike; Lehmann, Robert - 2023 - This version: November 21, 2023
In this paper, we use high-frequency transaction data to develop a weekly tracker for private consumption expenditures. Furthermore, we apply the transaction data in a nowcasting experiment and compare their performance with other, readily available indicators that are regularly linked to...
Persistent link: https://www.econbiz.de/10014427925
Cover Image
Estimation of the TFP gap for the largest five EMU countries
Carstensen, Kai; Kießner, Felix; Rossian, Thies - 2023
In this paper we augment the Bayesian unobserved components model of the EU Commission to estimate the cyclical component of total factor productivity (TFP gap) with a factor structure to include a wide array of business cycle indicators. We demonstrate that this model extension considerably...
Persistent link: https://www.econbiz.de/10013503372
Cover Image
Stock markets, banks and long run economics growth : a panel cointegration-based analysis
Cavenaile, Laurent; Gengenbach, Christian; Palm, Franz C. - 2013
the direction of potential causality between financial and economic development. Our results conclude to the existence of … a single cointegrating vector between financial development and growth and of causality going from financial development … to economic growth. We find little evidence of reverse causation as well as bi-directional causality. We interpret this …
Persistent link: https://www.econbiz.de/10010223077