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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

Nonresponse and Focal Point Answers to Subjective Probability Questions

Kleinjans, Kristin J. - 2010

We develop and estimate a panel data model explaining the answers to questions about subjective probabilities, using data from the US Health and Retirement Study. We explicitly account for nonresponse, rounding, and focal point 50 percent answers. Our results indicate that for three of the four...

Persistent link: https://www.econbiz.de/10013136709

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

Home Production and Retirement in Couples : A Panel Data Analysis

Bonsang, Eric - 2015

We analyse the effects of retirement of one partner on home production by both partners in a couple. Using longitudinal data from Germany on couples, we control for fixed household specific effects to address the concern that retirement decisions are correlated with unobserved characteristics...

Persistent link: https://www.econbiz.de/10013016335

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

Validating the Collective Model of Household Consumption Using Direct Evidence on Sharing

Bargain, Olivier - 2018

Recent advances in the collective model literature suggest ways to estimate the complete allocation of resources within households, using assignable goods and assuming adult preference similarity across demographic groups (or across spouses). While it makes welfare analysis at the individual...

Persistent link: https://www.econbiz.de/10012914348

Intrahousehold Resource Allocation and Individual Poverty : Assessing Collective Model Predictions Against Direct Evidence on Sharing

Bargain, Olivier; Lacroix, Guy; Tiberti, Luca - 2023

Welfare analyses conducted by policy practitioners around the world usually rely on equivalized or per-capita expenditures and ignore the extent of within-household inequality. Recent advances in the estimation of collective models suggest ways to retrieve the complete sharing process within...

Persistent link: https://www.econbiz.de/10014254963