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On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

-run restrictions than are needed because of a failure to fully utilize the cointegration information. …

Persistent link: https://www.econbiz.de/10003536155

A note on decompositions in fixed effects models in the presence of time-invariant characteristics

Heitmüller, Axel (contributor) - 2005

often been criticised. In this note it is shown that this problem extends also to panel data and moreover that in a fixed …

Persistent link: https://www.econbiz.de/10003227209

Wage decompositions using panel data sample selection correction

Oaxaca, Ronald L.; Choe, Chung - 2016

This paper analyzes wage decomposition methodology in the context of panel data sample selection embedded in a … correlated random effects setting. Identification issues unique to panel data are examined for their implications for wage … decompositions. As an empirical example, we apply our methodology to German Socio-Economic Panel (GSOEP) data with which we …

Persistent link: https://www.econbiz.de/10011527578

Aggregation in large dynamic panels

Pesaran, M. Hashem; Chudik, Alexander - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10009130496

Identification of New Keynesian Phillips Curves from a global perspective

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008

number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …

Persistent link: https://www.econbiz.de/10003652695

Using analysis of Gini (ANoGi) for detecting whether two sub-samples represent the same universe : the SOEP Experience

Frick, Joachim R.; Goebel, Jan; Schechtman, Edna; … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001944351

Investigating the asymmetric impact of oil prices on GCC stock markets

Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2020

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10012314956