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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10003586562
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Knowledge spillovers, ICT and productivity growth
Corrado, Carol; Haskel, Jonathan; Jona-Lasinio, Cécilia - 2014
This paper looks at the channels through which intangible assets affect productivity. The econometric analysis exploits a new dataset on intangible investment (INTAN-Invest) in conjunction with EUKLEMS productivity estimates for 10 EU member states from 1998 to 2007. We find that (a) the...
Persistent link: https://www.econbiz.de/10010374120
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Using spatial econometric techniques to analyze the joint employment decisions of spouses
Kalenkoski, Charlene; Lacombe, Donald J. - 2014
Studies of the joint time-use decisions of spouses have relied on joint estimation of time-use equations, sometimes …
Persistent link: https://www.econbiz.de/10010259539
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Spatial interactions
Kim, Jun Sung; Patacchini, Eleonora; Picard, Pierre M.; … - 2022
This paper studies how the strength of social ties are affected by the geographical location of other individuals and their social capital. We characterize the equilibrium in terms of both social interactions and social capital. We show that lower travel costs increase not only the interaction...
Persistent link: https://www.econbiz.de/10013264823
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Residential choices of young Americans
Patacchini, Eleonora; Arduini, Tiziano - 2016
Using detailed data on a cohort of young Americans who were in their late twenties and early thirties in 2008, we investigate the importance of forces different from economic incentives in nest-leaving decisions. We apply recent methods from social network econometrics to identify the importance...
Persistent link: https://www.econbiz.de/10011531870
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A time-space dynamic panel data model with spatial moving average errors
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018
This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …
Persistent link: https://www.econbiz.de/10011872320
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Testing the correlated random coefficient model
Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10003907131
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10003829113
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Different versions of the Easterlin Paradox : new evidence for European countries
Kaiser, Caspar F.; Vendrik, Maarten C. - 2018
Richer people are happier than poorer people, but when a country becomes richer over time, its people do not become happier. This seemingly contradictory pair of findings of Richard Easterlin has be-come famous as the Easterlin Paradox. However, it was met with counterevidence. To shed more...
Persistent link: https://www.econbiz.de/10011951423