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Nearly unbiased estimation in dynamic panel data models with exogenous variables

Carree, Martin Anthony - 2002

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This estimator does not share some of the drawbacks of recently developed IVand GMM estimators and has a good performance even in small samples. The nearly unbiased estimatoris derived...

Persistent link: https://www.econbiz.de/10011325972

Housing returns and intertemporal substitution in consumption : estimates for industrial economies

Pozzi, Lorenzo - 2022

This paper uses housing returns to estimate the elasticity of intertemporal substitution (EIS) in consumption for fifteen advanced economies over the postwar period 1950 − 2015. As housing is the main asset for the majority of households, returns on housing are better suited to estimate the...

Persistent link: https://www.econbiz.de/10013279905

Advance information and consumption insurance : evidence from panel data

Pedroni, Marcelo; Singh, Swapnil; Stoltenberg, Christian - 2022 - Preliminary, April 15, 2022

We investigate whether US households possess advance information about their future income and what this means for consumption insurance. Based on insights from a theoretical model, we propose a new test to detect advance information, which requires only panel data on consumption and income....

Persistent link: https://www.econbiz.de/10013186823

Heterogeneous variable selection in nonlinear panel data models : a semiparametric Bayesian approach

Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020

method additionally allows for other forms of cross-sectional heterogeneity. We consider a two-group approach for the model … Dirichlet process (DP) mixture of multivariate normals (other cross-sectional heterogeneity). We develop our approach for … continuous heterogeneity leads to an improved in-sample and out-of-sample performance and interesting insights. These findings …

Persistent link: https://www.econbiz.de/10012427429

Comparing micro-evidence on rent sharing from three different approaches

Dobbelaere, Sabien; Mairesse, Jacques - 2015

Empirical labor economists have resorted to estimating the responsiveness of workers' wages on firms' ability to pay to assess the extent to which employers share rents with their employees. This paper compares this labor economics approach with two other approaches that rely on standard micro...

Persistent link: https://www.econbiz.de/10010532584

The stickiness of aggregate consumption growth in OECD countries : a panel data analysis

Everaert, Gerdie; Pozzi, Lorenzo - 2011

into account endogeneity issues and error cross-sectional dependence. To this end, we develop a generalised method of …

Persistent link: https://www.econbiz.de/10011380726

A new view on panel econometrics : is probit feasible after all?

Praag, Bernard M. S. van - 2015

Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects bias. We extend this Mundlak equation further by replacing the time-varying explanatory variables by the corresponding deviations from the averages over time, while keeping the...

Persistent link: https://www.econbiz.de/10011337153

Nearly unbiased estimationin dynamic panel data models

Carree, Martin Anthony - 2002

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.

Persistent link: https://www.econbiz.de/10011325971

Has the Euro increased trade?

Bun, Maurice J. G.; Klaassen, Franc - 2002

A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro-effect directly from data that include EMU observations. Using...

Persistent link: https://www.econbiz.de/10011327839

Business cycle fluctuations and private savings in OECD countries : a panel data analysis

Adema, Yvonne; Pozzi, Lorenzo - 2012

Persistent link: https://www.econbiz.de/10009724306