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Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013129942
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Estimating the Technology of Cognitive and Noncognitive Skill Formation
Cunha, Flavio - 2010
This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...
Persistent link: https://www.econbiz.de/10013148325
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10013316934
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Trade and Migration with Renewable Natural Resources : Out-of-Steady-State Dynamics
López, Ramón - 2010
Commodity price increases associated with the entry of China, India and other countries into the world economy has led to increased pressure on common-property renewable natural resources (NR). The problem is particularly worrisome for economies that obtain a large share of their income from the...
Persistent link: https://www.econbiz.de/10013143683
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Bayesian Exploratory Factor Analysis
Conti, Gabriella - 2014
This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...
Persistent link: https://www.econbiz.de/10013049750
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Regional Policy Evaluation : Interactive Fixed Effects and Synthetic Controls
Gobillon, Laurent - 2013
estimation methods in small samples. As an empirical illustration, we also apply them to the evaluation of the impact on local …
Persistent link: https://www.econbiz.de/10013078823
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - 2021
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10013316638
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Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries
Ozdemir, Zeynel Abidin - 2014
This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally...
Persistent link: https://www.econbiz.de/10013065313
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Labor Mobility Across the Formal/Informal Divide in Turkey : Evidence from Individual Level Data
Tansel, Aysit - 2012
Informality has long been a salient phenomenon in developing country labor markets, thus has been addressed in several theoretical and empirical research. Turkey, given its economic and demographic dynamics, provides rich evidence for a growing, heterogeneous and multifaceted informal labor...
Persistent link: https://www.econbiz.de/10013112057
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Volatility and Growth : Governments are Key
Jetter, Michael - 2013
paper offers a solution to this disagreement, suggesting that volatility carries a positive direct effect, but also a … volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel of 95 countries … increase of volatility lowers growth by up to 0.57 percentage points in a democracy, but raises growth by 1.74 percentage …
Persistent link: https://www.econbiz.de/10013071293