The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...

Socio-economic interrelationships among regions can be measured in terms of economic flows, migration, or physical geographically-based measures, such as distance or length of shared areal unit boundaries. In general, proximity and openness tend to favour a similar economic performance among...

This paper introduces two easy to calculate estimators with desirable properties for theautoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the time-series or cross-section dimension.

Is working more than monetary income? This paper attempts to give an answer to this question on the basis of the German Socio-economic Panel data set. By comparing the satisfaction with life between workers and non-workers with the same household income, the monetary value of participating in...

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe regressor and another explanatory variabIewhich may be affected by lagged feedbacks from the dependent...

We analyze attendance of professional football matches in England finding that it is related to unemployment over a very long period of time. More unemployment leads to lower attendances. Distinguishing between leagues, we find that the relationship is larger for lower leagues, i.e. attendance...

We study risk-based selection into a voluntary unemployment insurance (UI) scheme. To disentangle behavioral effects from selection, we exploit variation in the sign-up induced by an early retirement scheme embedded into the UI system. We combine an event study with a differencein-difference...

We study optimal government spending in a business cycle model with frictional unemployment. The Ramsey optimal policy is contrasted with a reference policy which would be first best in a frictionless economy. Results are: the Ramsey policy i) implies a higher steady state ratio of government...