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It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011342578
This paper puts forward a method to estimate average economic growth, andits associated confidence bounds, which does not require a formal decision onpotential unit root properties. The method is based on the analysis of eitherdifference-stationary or trend-stationary time series models,...
Persistent link: https://www.econbiz.de/10011325976
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
With panel data important issues can be resolved that can not beaddressed with cross--sectional data. A major drawback … from the original populationas replacements for units who have dropped out of the panel, aso--called refreshment sample … different results than models that assume that themissing data process is ignorable or conventional econometric modelsfor panel …
Persistent link: https://www.econbiz.de/10011283469
industry level and the firm level using an unbalanced panel of 10646 French firms in 38 manufacturing industries over the …
Persistent link: https://www.econbiz.de/10011377461
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10011379149
consumption.Next, we estimate this dynamic consumption equation for a panel of 15 OECD countries over the period 1972-2007 taking …
Persistent link: https://www.econbiz.de/10011380726
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
for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …
Persistent link: https://www.econbiz.de/10011302148
To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … explain the upward trend. To correct for that, we extend the panel model (a gravity model) by including a time trend that may …
Persistent link: https://www.econbiz.de/10011334328