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Infinite dimensional VARs and factor models
Chudik, Alexander (contributor);  … - 2007
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10003646695
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Estimating the technology of cognitive and noncognitive skill formation
Cunha, Flávio; Heckman, James J.; Schennach, Susanne M. - 2010
This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...
Persistent link: https://www.econbiz.de/10003934523
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Bayesian exploratory factor analysis
Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - 2014
This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...
Persistent link: https://www.econbiz.de/10010386488
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10009130496
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A note on the importance of normalizations in dynamic latent factor models of skill formation
Del Bono, Emilia; Kinsler, Josh; Pavan, Ronni - 2020
Research on child skill formation and related policies typically rely on parent- reported measures of child non-cognitive skills. In this paper, we show that parental assessments of child non-cognitive skills are directly affected by the skills of the parents. We develop a dynamic model of child...
Persistent link: https://www.econbiz.de/10012293678
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Volatility and growth : governments are key
Jetter, Michael - 2013
paper offers a solution to this disagreement, suggesting that volatility carries a positive direct effect, but also a … volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel of 95 countries … increase of volatility lowers growth by up to 0.57 percentage points in a democracy, but raises growth by 1.74 percentage …
Persistent link: https://www.econbiz.de/10010228789
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Expected inflation, sunspots equilibria and persistent unemployment fluctuations
Dufourt, Frédéric; Lloyd-Braga, Teresa; Modesto, Leonor - 2009
European unemployment rates. They also generate positive comovements in macroeconomic variables and a large relative volatility …
Persistent link: https://www.econbiz.de/10003879337
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
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 … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10003586562
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Earnings instability of job stayers and job changers
Leonardi, Marco (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001838244
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Consumption smoothing and the structure of labor and credit markets
Bertola, Giuseppe (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001945759