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regressors for explaining cross-country growth patterns. However, care should be taken in the methodology employed. The approach …
Persistent link: https://www.econbiz.de/10005407952
regressors for explaining cross-country growth patterns. However, care should be taken in the methodology employed. The approach …
Persistent link: https://www.econbiz.de/10005556336
in 1990 and 1994 respectively, as derived from the grid bootstrap approach. Likewise, there is evidence of a shift in the …
Persistent link: https://www.econbiz.de/10005407994
This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...
Persistent link: https://www.econbiz.de/10012696244
This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the …
Persistent link: https://www.econbiz.de/10012696311
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10011995195
This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved heterogeneity and priors on the factor structure of...
Persistent link: https://www.econbiz.de/10011995241
The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and...
Persistent link: https://www.econbiz.de/10011755270
This paper models the firm's production process as a system of simultaneous technologies for desirable and undesirable outputs. Desirable outputs are produced by transforming inputs via the conventional transformation function, whereas (consistent with the material balance condition) undesirable...
Persistent link: https://www.econbiz.de/10011755288
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters...
Persistent link: https://www.econbiz.de/10011755290