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Weak and Strong Cross Section Dependence and Estimation of Large Panels

Chudik, Alexander - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10013155822

Dynamic Nonparametric Clustering of Multivariate Panel Data

Custodio João, Igor; Lucas, Andre; Schwaab, Bernd; … - 2023

We introduce a new dynamic clustering method for multivariate panel data char-acterized by time-variation in cluster locations and shapes, cluster compositions, and, possibly, the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional...

Persistent link: https://www.econbiz.de/10014257567

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Ciccarelli, Matteo - 2012

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular …

Persistent link: https://www.econbiz.de/10013097758

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, Hashem - 2009

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10011605044

Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - 2004

This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller...

Persistent link: https://www.econbiz.de/10011604358

Panel data estimates of the production function and product and labor market imperfections

Dobbelaere, Sabien; Mairesse, Jacques - 2007

determine the degree of true firm-level heterogeneity, we adopt the Swamy (1970) methodology. The Swamy robust estimates of true … dispersion show sizeable within-industry firm heterogeneity. Firm size, capital intensity, distance to the industry technology … frontier and investing in R&D seem to account for part of this heterogeneity. …

Persistent link: https://www.econbiz.de/10011604828

The impact of financial position on investment: an anlysis for non-financial corporations in the euro area

Martinez-Carrascal, Carmen; Ferrando, Annalisa - 2008

This paper analyses the impact that firms financial position has on investment decisions using panel data from a large sample of non-financial corporations(around 120,000 firms) in six euro area countries(Belgium, Germany, France, Italy, the Netherlands and Spain). The results indicate that...

Persistent link: https://www.econbiz.de/10011604989

Current account benchmarks for central and eastern Europe: a desperate search?

Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - 2009

This paper examines two competing approaches for calculating current account benchmarks, i.e. the external sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel econometric techniques. The aim is to gauge the medium...

Persistent link: https://www.econbiz.de/10011605041

Thousands of models, one story: current account imbalances in the global economy

Chudik, Alexander; Dieppe, Alistair; Ca' Zorzi, Michele - 2012

The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative...

Persistent link: https://www.econbiz.de/10011605486

Fiscal multipliers during consolidation: evidence from the European Union

Cugnasca, Alessandro; Rother, Philipp - 2015

This paper investigates the impact of fiscal consolidation on economic growth in European Union countries, between 2004 and 2013. We construct a new dataset of exogenous fiscal adjustments, relying on legally binding recommendations issued to countries under Excessive Deficit Procedure, and we...

Persistent link: https://www.econbiz.de/10011605908

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