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Pesaran, M. Hashem - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013129942

Identifying Regional Labor Demand Shocks Using Sign Restrictions

Juessen, Falko - 2012

We propose using sign restrictions to identify regional labor demand shocks in a panel VAR of US federal states. Observed migration responds significantly, but less persistently than the residual-based migration measure constructed by Blanchard and Katz (1992)

Persistent link: https://www.econbiz.de/10013099800

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi - 2012

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy's steady state growth …

Persistent link: https://www.econbiz.de/10013107701

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10013316934

Estimating Labor-Supply Elasticities with Joint Borrowing Constraints of Couples

Bredemeier, Christian - 2016

Estimates of Frisch labor-supply elasticities are biased in the presence of borrowing constraints. We show that this estimation bias is less pronounced for secondary than for primary earners. The reason is that, in households with two earners and joint borrowing constraints, wage-rate...

Persistent link: https://www.econbiz.de/10012981501