Showing 1 - 10 of 292
Kneller et al. (1999) examined the predictions of the public-policy endogenous growth models of Barro (1990) and others that suggest that unlike distortionary taxation and productive expenditures, nondistortionary taxation and nonproductive expenditures have no direct effect on the rate of...
Persistent link: https://www.econbiz.de/10008692042
at those with a basic understanding of time series econometrics, this book will be extremely useful for researchers and … especially those in econometrics and carbon finance. The material is also appropriate for students (advanced undergraduates, MSc …, MBA) in the field of econometrics, energy and environmental economics. Readers are supplied with hyperlinks to data and R …
Persistent link: https://www.econbiz.de/10010835907
In this paper we propose a stationary nonlinear dynamic functional coefficient panel data models with fixed effects and develops semiparametric estimation procedure using series approximation. Convergence rate and asymptotic distribution of the proposed series estimators are derived in which...
Persistent link: https://www.econbiz.de/10010884992
The policy of inflation targeting is a monetary regime which seeks inflation. His practice was marked by a high stability observed. A debate emerged on the effectiveness and economic performance of this regime. Many searches are interested in this issue without being able to even reach an...
Persistent link: https://www.econbiz.de/10011212872
We propose a three-step local polynomial procedure for a multivariate nonparametric regression in which the errors are autocorrelated. The proposed estimator uses all sample points to estimate m(x), the regression function evaluated at point x, but the contributions from all non-local points are...
Persistent link: https://www.econbiz.de/10011278528
In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.
Persistent link: https://www.econbiz.de/10011278529
This paper tested the effects of the 2005 vehicle emission-control law issued in Japan on the market linkages between the U.S. and Japanese palladium futures markets. To determine these effects, we applied a cointegration test both with and without break points in the time series and found that...
Persistent link: https://www.econbiz.de/10011278537
Using intradistribution dynamics and panel unit root tests, this study considers the economic convergence processes of 53 African countries during the period 1950–2008. The stochastic evidence reveals no global convergence among African countries but provides indications of convergence...
Persistent link: https://www.econbiz.de/10011278538
The current paper considers a linear regression framework with two endogenous regressors, but only one instrument that is correlated with both. I demonstrate that under reasonable conditions, some of which are testable from the data, these different sources of endogeneity act in opposing...
Persistent link: https://www.econbiz.de/10011278545
Knowledge of dependence pattern in stock market has paramount importance for both theoretical and practical in financial markets. Their usefulness is wide, can be used in portfolio predictability (of portfolio) and risk management. The aim of this paper is to investigate the autoregressive...
Persistent link: https://www.econbiz.de/10011278564