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On the Predictability of Global Stock Returns

Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005

Stock return predictability is a central issue in empirical finance. Yet no comprehensive study of international data has been performed to test the predictive ability of lagged explanatory variables. In fact, most stylized facts are based on U.S. stock-market data. In this paper, I test for...

Persistent link: https://www.econbiz.de/10005651655

Predictive regressions with panel data

Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005

This paper analyzes econometric inference in predictive regressions in a panel data setting. In a traditional time-series framework, estimation and testing are often made difficult by the endogeneity and near persistence of many forecasting variables; tests of whether the dividend-price ratio...

Persistent link: https://www.econbiz.de/10005651706

Globalization and Inter-occupational Inequality in a Panel of Countries: 1983-2003

Munshi, Farzana - Nationalekonomiska institutionen, Handelshögskolan - 2008

How does globalization affect inter-occupational wage inequality within countries? This paper empirically examines this … to trade contributes to an increase in occupational wage inequality within developed countries, but that the effect … openness to trade on wage inequality is insignificant and does not vary with the level of development. Our results also suggest …

Persistent link: https://www.econbiz.de/10005190936

System GMM estimation of panel data models with time varying slope coefficients

Sato, Yoshihiro; Söderbom, Måns - Nationalekonomiska institutionen, Handelshögskolan - 2013

We highlight the fact that the Sargan-Hansen test for GMM estimators applied to panel data is a joint test of valid orthogonality conditions and coefficient stability over time. A possible reason why the null hypothesis of valid orthogonality conditions is rejected is therefore that the slope...

Persistent link: https://www.econbiz.de/10011019092

The Effect of Female and Male Health on Economic Growth: Cross-Country Evidence within a Production Function Framework

Hassan, Gazi M.; Cooray, Arusha; Holmes, Mark J. - Department of Economics, Waikato Management School - 2015

Adopting a production function based approach, we model the role of health as a regular factor of production on economic growth, and use disaggregate measures of male and female health capital using principal components analysis. Allowing for the dynamics of TFP to be embedded in the production...

Persistent link: https://www.econbiz.de/10011265715

Level shifts in a panel data based unit root test. An application to the rate of unemployment

Silvestre, Josep Lluis Carrion; Castro, Tomas del Barrio; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2002

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the...

Persistent link: https://www.econbiz.de/10005022359

Identifying the Socioeconomic Determinants of Crime in Spanish Provinces

Buonanno, Paolo; Estivill, Daniel Montolio - Facultat d'Economia i Empresa, Universitat de Barcelona - 2005

In this paper we study, having as theoretical reference the economic model of crime (Becker, 1968; Ehrlich, 1973), which are the socioeconomic and demographic determinants of crime in Spain paying attention on the role of provincial peculiarities. We estimate a crime equation using a panel dataset...

Persistent link: https://www.econbiz.de/10005022360

Breaking the panels. An application to the GDP per capita

Silvestre, Josep Lluis Carrion; Castro, Tomas del Barrio; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2003

This paper proposes a test statistic for the null hypothesis of panel stationarity that allows for the presence of multiple structural breaks. Two different specications are considered depending on the structural breaks affecting the individual effects and/or the time trend. The model is exible...

Persistent link: https://www.econbiz.de/10005022398

Real Exchange Rate Adjustment In European Transition Countries

Maican, Florin G.; Sweeney, Richard J. - Nationalekonomiska institutionen, Handelshögskolan - 2006

This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes,...

Persistent link: https://www.econbiz.de/10005651623

Does openness reduce wage inequality in developing countries? A panel data analysis

Munshi, Farzana - Nationalekonomiska institutionen, Handelshögskolan - 2006

This paper provides panel data evidence on trade liberalization and wage inequality in Bangladesh. Using several … evidence that openness contributes to a reduction in wage inequality between skilled and unskilled workers. The results also …

Persistent link: https://www.econbiz.de/10005651734