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Issues in Estimating New-Keynesian Phillips Curves in the Presence of Unknown Structural Change
Kulish, Mariano; Pagan, Adrian - Reserve Bank of Australia - 2013
Structural change has been conjectured to lead to an upward bias in the estimated forward expectations coefficient in New-Keynesian Phillips curves. We present a simple New-Keynesian model that enables us to assess this proposition. In particular, we investigate the issue of upward bias in the...
Persistent link: https://www.econbiz.de/10010815236
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when … instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better … approximation than the usual asymptotic chi-square distributions. However, the bootstrap provides only a first-order approximation …
Persistent link: https://www.econbiz.de/10011109415
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Chinese resource demand and the natural resource supplier
Dungey, Mardi; Fry-McKibbin, Renée; Linehan, Verity - School of Economics and Finance, Tasmanian School of … - 2013
This paper provides empirical evidence on the effects of Chinese resource demand on the resource rich natural resource supplier using the example of Australia. A structural VAR model is used to examine the effects of Chinese resource demand, commodity prices and foreign output on the...
Persistent link: https://www.econbiz.de/10010905835
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - School of Economics and Finance, Tasmanian School of … - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-WuHausman (DWH) specification tests when … instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better … approximation than the usual asymptotic 2 distributions. However, the bootstrap provides only a first-order approximation when …
Persistent link: https://www.econbiz.de/10010905845
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Specification Tests with Weak and Invalid Instruments
Tchatoka, Firmin Doko - School of Economics, University of Adelaide - 2014
as the sample size increases. We propose size correction based on bootstrap techniques. Our analysis of the proposed … bootstrap tests provides some new insights. More precisely, we show that even for moderate instrument endogeneity, the bootstrap …
Persistent link: https://www.econbiz.de/10010959883
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On Distributions of Ratios
Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10011255898
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Cross-Border Flows of People, Technology Diffusion and Aggregate Productivity
Andersen, Thomas Barnebeck; Dalgaard, Carl-Johan - Institut for Miljø og Erhvervsøkonomi, Syddansk … - 2006
A number of empirical studies have investigated the hypothesis that cross-border flows of goods (international trade) and capital (FDI) lead to international technology diffusion. The contribution of the present paper consists in examining an as yet neglected vehicle for technology diffusion:...
Persistent link: https://www.econbiz.de/10005482008
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Analyzing Zero Returns to Education in Germany: Heterogeneous Effects and Skill Formation
Kamhöfer, Daniel A.; Schmitz, Hendrik - Forschungsbasierte Infrastruktureinrichtung … - 2013
We analyze the effect of education on wages using German Socio-Economic Panel data and regional variation in mandatory years of schooling and the supply of schools. This allows us to estimate more than one local average treatment effect and heterogeneous effects for different groups of...
Persistent link: https://www.econbiz.de/10011128958
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True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression
Phillips, Peter C.B.; Han, Chirok - Cowles Foundation for Research in Economics, Yale University - 2014
This note derives the correct limit distributions of the Anderson Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample...
Persistent link: https://www.econbiz.de/10011184578
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The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
Phillips, Peter C.B.; Han, Chirok - In: Economics Letters 127 (2015) C, pp. 89-92
This note derives the correct limit distributions of the Anderson–Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample...
Persistent link: https://www.econbiz.de/10011189543