Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

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 …

We propose using sign restrictions to identify regional labor demand shocks in a panel VAR of US federal states …

We present in this paper the panel econometrics estimation approach of measuring the technical change and total factor … variances has been used for the estimation of the translog production functions. Two alternative formulations of technical …

proposed. The expression for a modified likelihood function is obtained for estimation and inference in a fixed-T context …. Using a bias-corrected likelihood approach makes it possible to reduce the estimation bias to a term of order 1/Tﾲ. The … calibrated to the data used in the empirical analysis, drawn from the 1968-1993 Panel Study of Income Dynamics. The empirical …

We develop and estimate a panel data model explaining the answers to questions about subjective probabilities, using …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

we demonstrate that in this extended setup Probit estimation on panel data sets does not pose a specific problem. The …Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects …