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Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes. One …

Persistent link: https://www.econbiz.de/10011343265

The monetary exchange rate model as a long-run phenomenon

Groen, Jan J. J. - 1998

pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance … with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the …

Persistent link: https://www.econbiz.de/10011299983

Dynamic clustering of multivariate panel data

Lucas, André; Schaumburg, Julia; Schwaab, Bernd - 2020

We propose a dynamic clustering model for studying time-varying group structures in multivariate panel data. The model …

Persistent link: https://www.econbiz.de/10012161029

Advance information and consumption insurance : evidence from panel data

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

requires only panel data on consumption and income. Using the Panel Study of Income Dynamics, we find-in contrast to the … incomplete markets model and find that advance information reduces households' income forecast errors by 15%. Our estimation …

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

Continuous-time modelling with spatial dependence

Oud, Johannes H. L.; Folmer, Henk; Patuelli, Roberto; … - 2011

Persistent link: https://www.econbiz.de/10009720763

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

Structural differences in economic growth

Basturk, Nalan; Paap, Richard; Dijk, Dick van - 2008

finite mixture panel model and endogenous clustering to examine cross-country differences and similarities in the effects of … growth determinants. Applying this approach to an annual unbalanced panel of 59 countries in Asia, Latin and Middle America …

Persistent link: https://www.econbiz.de/10011377062