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An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10010282124
to geographic aggregation. After reviewing the tradeoffs associated with more- and less-disaggregated analyses … of geographic aggregation. This analysis reveals that more-disaggregated analyses severely understate the extent to which …
Persistent link: https://www.econbiz.de/10010319534
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10010282392
This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … 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/10010285520
significant and correctly signed class size effects increases the higher the level of aggregation used to measure class size. …
Persistent link: https://www.econbiz.de/10010261766
The consequences of aggregation, temporal or spatial, for the estimation of demand models are theoretically well … model at the most aggregated levels. Indeed, the results for quadratic adjustment costs confirm that aggregation along both …
Persistent link: https://www.econbiz.de/10010268501
In the tradition of Afriat (1967), Diewert (1973) and Varian (1982), we provide a revealed preference characterisation of the representative consumer. Our results are simple and complement those of Gorman (1953, 1961), Samuelson (1956) and others. They can also be applied to data very readily...
Persistent link: https://www.econbiz.de/10010282357
Oaxaca and Ransom (1999) show that a detailed decomposition of the coefficients effect is destined to suffer from an identification problem since the detailed coefficients effect attributed to a dummy variable is not invariant to the choice of reference groups. It turns out that the...
Persistent link: https://www.econbiz.de/10010261567
This paper presents a theory and an empirical investigation on cyclical fluctuations in workplace accidents. The theory is based on the idea that reporting an accident dents the reputation of a worker and raises the probability that he is fired. Therefore a country with a high or an increasing...
Persistent link: https://www.econbiz.de/10010262422
This paper proposes a new approach for analyzing the relationship between macroeconomic factors and the income distribution. The conventional method of analysis is regression of summary inequality indices on variables such as the unemployment and inflation rates. Building on the lessons from...
Persistent link: https://www.econbiz.de/10010262571