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Large estimates of the elasticity of intertemporal substitution: is it the aggregate return series or the instrument list?
Gomes, Fábio; Paz, Lourenço - In: Economics Bulletin 35 (2015) 1, pp. 168-181
Since the 1980s, researchers have been puzzled by close to zero estimates of the elasticity of intertemporal substitution. Two possible causes are rates of return that are not representative of the agent's portfolio return and inconsistent estimates due to the weak instrument problem. We examine...
Persistent link: https://www.econbiz.de/10011199625
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A supremum-type RESET test for binary choice models
Ramalho, Esmeralda; Ramalho, Joaquim; Murteira, Jose M.R. - In: Economics Bulletin 32 (2012) 1, pp. 905-912
This note introduces a supremum-type RESET statistic for testing the specification of binary choice regression models. A Monte Carlo simulation study reveals very promising results for the proposed statistic.
Persistent link: https://www.econbiz.de/10011278713
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Assessing competitive conditions and welfare losses in the Greek food and beverages manufacturing industry: An extended Hall-Roeger approach
Rezitis, Anthony N; Kalantzi, Maria A. - In: Economics Bulletin 32 (2012) 2, pp. 1413-1427
. The bootstrap method is applied to assign measures of accuracy to the statistical estimates. The empirical results imply …
Persistent link: https://www.econbiz.de/10011278731
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Computationally efficient approximation for the double bootstrap mean bias correction
Ouysse, Rachida - In: Economics Bulletin 31 (2011) 3, pp. 2388-2403
We propose a computationally efficient approximation for the double bootstrap bias adjustment factor without using the … inner bootstrap loop. The approximation converges in probability to the population bias correction factor. We study the … variance than those based on the double bootstrap and, lower adjusted mean-squared error than estimators based on the single …
Persistent link: https://www.econbiz.de/10009274533
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Threshold Effects in Cigarette Addiction: An Application of the Threshold Model in Dynamic Panels
Chen, Yi-Chi; Lin, Chang-Ching - In: Economics Bulletin 30 (2010) 4, pp. 3128-3142
bootstrap approach to correct for the small-sample bias that arises in the dynamic panel threshold model with fixed effects. Our …
Persistent link: https://www.econbiz.de/10008740209
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How Reliable are the Estimates of the Underground Economy?
Bajada, Christopher - In: Economics Bulletin 3 (2002) 14, pp. 1-11
estimates have varied widely and have cast doubts on their credibility and usefulness. This paper describes a dynamic bootstrap …
Persistent link: https://www.econbiz.de/10005190008
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How Reliable are the Estimates of the Underground Economy?
Bajada, Christopher - In: Economics Bulletin 3 (2002) 14, pp. 1-11
estimates have varied widely and have cast doubts on their credibility and usefulness. This paper describes a dynamic bootstrap …
Persistent link: https://www.econbiz.de/10010629580
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Long-run Determinants of Sovereign Yields
Rault, Christophe; Afonso, António - In: Economics Bulletin 31 (2011) 1, pp. 367-374
We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary and external imbalances and inflation as relevant...
Persistent link: https://www.econbiz.de/10008802470
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Is there a stochastic convergence process in the West African economic and monetary union in presence of multiple structural breaks from 1960 to 2010?
Bah, Mohamed Siry - In: Economics Bulletin 34 (2014) 3, pp. 1917-1928
Our study analyses stochastic convergence of relative real GDP per capita in the West African Economic and Monetary Union (WAEMU) in the period 1960 to 2010. It highlights the importance of considering structural breaks and cross-section dependence in the panel unit root tests. Using the panel...
Persistent link: https://www.econbiz.de/10010890863
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The Relationship between Stock Price and EPS: Evidence Based on Taiwan Panel Data
Su, Chi-Wei; Chang, Ya-Wen; Chen, Yahn-Shir; Chang, Hsu-Ling - In: Economics Bulletin 3 (2008) 30, pp. 1-12
In this study, we use panel cointegration methods to investigate the relationship between stock prices and earnings-per-share (EPS). Furthermore, we consider whether stock prices respond to EPS under the different level of growth rate of operating revenue. The empirical result indicated that the...
Persistent link: https://www.econbiz.de/10011213784