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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

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

Modeling Life-Cycle Earnings Risk with Positive and Negative Shocks

Sanchez Garcia, Manuel - 2017

We study workers' idiosyncratic earnings risk over the life-cycle using a German administrative data set. Positive and negative earnings shocks both contain a highly persistent component. The variance and average size of positive persistent shocks is decreasing over the life-cycle. The...

Persistent link: https://www.econbiz.de/10012948657

Wage Risk, Employment Risk and the Rise in Wage Inequality

Mecikovsky, Ariel - 2017

We estimate the changes in US male labor market risk over the last three decades in a model of endogenous labor supply and job mobility. Across education groups permanent shocks to productivity have become more dispersed. Moreover, heterogeneity in pay across offered jobs has increased for...

Persistent link: https://www.econbiz.de/10012966057

Exploring the Causes of Frictional Wage Dispersion

Tjaden, Volker - 2012

Standard search models are unreliable for structural inference of the underlying sources of wage inequality because they are inconsistent with observed residual wage dispersion. We address this issue by modeling skill development and duration dependence in unemployment benefits in a random on...

Persistent link: https://www.econbiz.de/10013111209