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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003889148
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Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses
Spieß, Martin; Tutz, Gerhard - 2002
In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed in the literature are reviewed and their deficiencies are discussed. It is argued that a measure of the explanatory power should take into account the components which are...
Persistent link: https://www.econbiz.de/10011436274
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Private savings in Eastern European EU-accession countries : evidence from a dynamic panel data model
Schrooten, Mechthild; Stephan, Sabine - 2003
After the collapse in early transition years, saving rates in Eastern European EU-accession countries have recovered strongly. Is private saving in these countries now driven by the same forces as in the EU? A GMM estimator is applied to analyze the determinants of private saving in both country...
Persistent link: https://www.econbiz.de/10011438969
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Restrictions search for panel VARs
Camehl, Annika - 2016
As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well …-supported restrictions. The prior differentiates between domestic and foreign variables, thereby allowing a less restrictive panel structure …
Persistent link: https://www.econbiz.de/10011552976
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Local banking and local economic growth in Italy : some panel evidence
Caporale, Guglielmo Maria; Di Colli, Stefano; Di Salvo, … - 2014
This paper provides new evidence on the contribution of local banking to local economic growth (i.e. at county level - the Italian "province") in Italy. A comprehensive dataset is used, which includes control variables for social capital and human capital as well as indicators of the quality of...
Persistent link: https://www.econbiz.de/10010406692
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Local and spatial cointegration in the wage curve : a spatial panel analysis for German regions
Kosfeld, Reinhold; Dreger, Christian - 2015
unemployment. Empirical results focus on particular theoretical channels establishing the relationship. Panel models mostly draw on …
Persistent link: https://www.econbiz.de/10011411665
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Stock market integration in Asia : global or regional? : evidence from industry level panel convergence tests
Caporale, Guglielmo Maria; You, Kefei - 2017
(industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised … Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence … tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel …
Persistent link: https://www.econbiz.de/10011654612
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Interactions in fixed effects regression models
Giesselmann, Marco; Schmidt, Alexander - 2018
An interaction in a fixed effects (FE) regression is usually specified by demeaning the product term. However, this strategy does not yield a genuine within estimator. Instead, an estimator is produced that reflects unit-level differences of interacted variables whose moderators vary within...
Persistent link: https://www.econbiz.de/10011880691
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Is euro area money demand (still) stable? : cointegrated VAR versus single equation techniques
Belke, Ansgar; Czudaj, Robert - 2010
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...
Persistent link: https://www.econbiz.de/10003939738
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Stationarity changes in long-run fossil resource prices : evidence from persistence break testing
Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne - 2011
This paper considers the question of whether changes in persistence have occurred during the long-run evolution of U.S. prices of the non-renewable energy resources crude oil, natural gas and bituminous coal. Our main contribution is to allow for a structural break when testing for a break in...
Persistent link: https://www.econbiz.de/10009579658