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Estimation of short dynamic panels in the presence of cross-sectional dependence and dynamic heterogeneity
Gilhooly, Robert; Weale, Martin; Wieladek, Tomasz - 2012
We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … heterogeneity which is suitable for inference in short panels, unlike alternative estimators. Monte Carlo simulations indicate that … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …
Persistent link: https://www.econbiz.de/10009680588
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Spatial multivariate regressions with panel data
Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016
We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of … spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …
Persistent link: https://www.econbiz.de/10012059270
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On adjusting the one-sided Hodrick-Prescott filter
Wolf, Elias; Mokinski, Frieder; Schüler, Yves - 2020
We show that one should not use the one-sided Hodrick-Prescott filter (HP-1s) as the real-time version of the two-sided Hodrick-Prescott filter (HP-2s): First, in terms of the extracted cyclical component, HP-1s fails to remove low-frequency fluctuations to the same extent as HP-2s. Second,...
Persistent link: https://www.econbiz.de/10012180612
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On the credit-to-GDP gap and spurious medium-term cycles
Schüler, Yves - 2020
The Basel III framework advises considering a reference indicator at the country level to guide the setting of the countercyclical capital buffer: the credit-to-GDP gap. In this paper, I provide empirical evidence suggesting that the credit-to-GDP gap is subject to spurious medium-term cycles,...
Persistent link: https://www.econbiz.de/10012216484
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On the cyclical properties of Hamilton's regression filter
Schüler, Yves S. - 2018
Hamilton (2017) criticises the Hodrick and Prescott (1981, 1997) filter (HP filter) because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) and proposes a regression filter as an alternative. I demonstrate that Hamilton's...
Persistent link: https://www.econbiz.de/10011792295
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Charitable giving and its persistent and transitory reactions to changes in tax incentives : evidence from the German taxpayer panel
Bönke, Timm; Werdt, Clive - 2015
We estimate the elasticity of charitable giving with respect to price and income changes using a rich panel of income … tax returns covering the period 2001 to 2006. Employing censored quantile regression and exploiting the panel structure …
Persistent link: https://www.econbiz.de/10010473172
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Globalization and international business cycle dynamics : a conditional GVAR approach
Binder, Michael; Offermanns, Christian J. - 2014
We examine the effects of increased international integration of both goods and financial markets on business cycle dynamics. To do so, we develop a new econometric framework for modelling cross-country spillovers in which the magnitude of these spillovers is an empirically determined function...
Persistent link: https://www.econbiz.de/10010414228
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A framework for separating individual treatment effects from spillover, interaction, and general equilibrium effects
Huber, Martin; Steinmayr, Andreas - 2017
This paper suggests a causal framework for disentangling individual level treatment effects and interference effects, i.e., general equilibrium, spillover, or interaction effects related to treatment distribution. Thus, the framework allows for a relaxation of the Stable Unit Treatment Value...
Persistent link: https://www.econbiz.de/10011626689
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Economic uncertainty and subjective inflation expectations
Rossmann, Tobias - 2019
paper uses the panel dimension of household surveys to study individual-level heterogeneity in this measure of individual …
Persistent link: https://www.econbiz.de/10012034114
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684