In the context of a single equation in a system of simultaneous equations there is evidently some confusion in the literature as to the correct approach to the problem of prediction. Here we explore this problem and compare three different approaches to it. We also relate this discussion to...

This note shows that two ways of simulation based bias correction–indirect inference and bootstrap bias correction–are equivalent for two-stage-least-squares, as well as k-class estimators for the standard linear model with endogenous regressors.

This note derives the correct limit distributions of the Anderson–Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample...

Work and life satisfaction depend on a number of pecuniary and non-pecuniary factors at the workplace and determine these in turn. We analyze these causal linkages using a structural vector autoregression approach for a German sample of the working populace from 1984 to 2008, finding that...

This paper considers a generalized panel data model of polychotomous and/or sequential switching which can also accommodate the dependence between unobserved effects and covariates in the model. We showcase our model using an empirical illustration in which we estimate scope economies for the...

This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.

Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. In this contribution, we study the use of Hausman-type statistics based on the CCE estimator of Pesaran (2006) and the IE estimator developed by Bai...

Pesaran and Yamagata (Pesaran, M.H., Yamagata, T., Testing slope homogeneity in large panels, Journal of Econometrics 142, 50–93, 2008) propose a test for slope homogeneity in large panels, which has become very popular in the literature. However, the test cannot deal with the practically...

We examine the effects of hurricane shocks on key migration variables in US coastal counties. Results show that hurricane strikes increase the outward migration rate and that these migrants were somewhat wealthier, but that there was no impact on inward migration.

We estimate panel vector autoregressions to analyze the highly disputed relationship between sovereign debt and economic growth. Using data on 20 developed countries, we find no evidence for a robust effect of debt on growth, even for higher levels of debt. We do find a significant negative...