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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

Does Downward Nominal Wage Rigidity Dampen Wage Increases?

Stueber, Heiko - 2010

Focusing on the compression of wage cuts, many empirical studies find a high degree of downward nominal wage rigidity (DNWR). However, the resulting macroeconomic effects seem to be surprisingly weak. This contradiction can be explained within an intertemporal framework in which DNWR not only...

Persistent link: https://www.econbiz.de/10013139046

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

Downward Real Wage Rigidity and Equal Treatment Wage Contracts : Theory and Evidence

Snell, Andy - 2018

Recent dynamic contracting models of downward real wage rigidity with "equal treatment" – newly hired workers cannot … they joined the establishment from unemployment. This is supportive of equal treatment. We also show that a four parameter … version of the equal treatment contracting model of Snell and Thomas (2010) can replicate reasonably well the salient time …

Persistent link: https://www.econbiz.de/10012919505

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

Bias in Returns to Tenure When Firm Wages and Employment Comove : A Quantitative Assessment and Solution

Martins, Pedro S. - 2016

It is well known that, unless worker-firm match quality is controlled for, returns to firm tenure (RTT) estimated directly via reduced form wage (Mincer) equations will be biased. In this paper we argue that even if match quality is properly controlled for there is a further pervasive source of...

Persistent link: https://www.econbiz.de/10012995586

Wage Cyclicalities and Labor Market Dynamics at the Establishment Level : Theory and Evidence

Merkl, Christian - 2017

Using the new AWFP dataset that covers all German establishments, we document a substantial cross-sectional heterogeneity of establishments' average real wages over the business cycle. While the median establishments' real wages are procyclical, there is a large fraction of establishments with...

Persistent link: https://www.econbiz.de/10012946571