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Investigating the Dynamic Effects of Counterfeits with a Random Changepoint Simultaneous Equation Model
Qian, Yi - 2011
Using a unique panel dataset and a new model, this article investigates the dynamic effects of counterfeit sales on authentic-product price dynamics. We propose a Bayesian random-changepoint simultaneous equation model that simultaneously takes into account three important features in empirical...
Persistent link: https://www.econbiz.de/10013131443
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Recursive Competitive Equilibrium
Mehra, Rajnish - 2006
In this article we define a Recursive Competitive Equilibrium, provide an example and review the related literature. The article is an entry prepared for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan: New York)
Persistent link: https://www.econbiz.de/10012779584
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Identification Through Heteroskedasticity : Measuring "Contagion: Betweenargentinean and Mexican Sovereign Bonds
Rigobon, Roberto - 2010
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012763760
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Dynamic Seemingly Unrelated Cointegrating Regression
Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2021
Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...
Persistent link: https://www.econbiz.de/10013232465
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Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity
Imbens, Guido W.; Newey, Whitney K. - 2021
This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors. We allow for non-additive errors because the unobserved heterogeneity in marginal returns that often motivates concerns about endogeneity of choices...
Persistent link: https://www.econbiz.de/10013233479
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Dummy Endogenous Variables in a Simultaneous Equation System
Heckman, James J. - 2021
This paper considers the formulation and estimation of simultaneous equation models with both discrete and continuous endogenous variables. The statistical model proposed here is sufficiently rich to encompass the classical simultaneous equation model for continuous endogenous variables and more...
Persistent link: https://www.econbiz.de/10013310179
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"Aggregation Bias" Does Explain the PPP Puzzle
Imbs, Jean M.; Mumtaz, Haroon; Ravn, Morten O.; Rey, … - 2021
This article summarizes our views on the role of an "aggregation bias" in explaining the PPP Puzzle, in response to the … counter-examples which are not empirically relevant; (ii) simulation results minimizing the extent of "aggregation bias"; (iii … corrections. We conclude, as in our original paper, that "aggregation bias" goes a long way towards explaining the PPP puzzle …
Persistent link: https://www.econbiz.de/10013238972
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Does "Aggregation Bias" Explain the PPP Puzzle?
Chen, Shiu‐Sheng; Engel, Charles M. - 2021
aggregation bias'. This paper re-examines aggregation bias. First, it clarifies the meaning of aggregation bias and its … that heterogeneity and aggregation bias do not help to solve the PPP puzzle …
Persistent link: https://www.econbiz.de/10013245121
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Free vs. Controlled Migration : Bilateral Country Study
Razin, Assaf - 2011
This paper tests the differential effects of the generosity of the welfare state under free migration and under policy-controlled migration, distinguishing between source developing and developed countries. We utilize free-movement within the EU to examine the free migration regime and compare...
Persistent link: https://www.econbiz.de/10013129125
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Safety-Net Benefits Conferred on Difficult-to-Fail-And-Unwind Banks in the Us and EU Before and During the Great Recession
Carbo-Valverde, Santiago - 2011
This paper models and estimates ex ante safety-net benefits at a sample of large banks in US and Europe during 2003-2008. Our results suggest that difficult-to-fail and unwind (DFU) banks enjoyed substantially higher ex ante benefits than other institutions. Safety-net benefits prove...
Persistent link: https://www.econbiz.de/10013130253