A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...

In this paper, we empirically assess the predictive accuracy of a large group of models that are specified using principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least angle regression and related methods. Our results suggest...

Bloom and Van Reenen (2007) show that differences in management practices are correlated with productivity differences at the firm level. In this paper, we conducted similar interview surveys on management practices in Japanese and Korean firms in 2008 and 2012. We find that overall management...

This paper presents an autocorrelation test that is applicable to dynamic panel data models with serially correlated errors. Our residual-based GMM t-test (hereafter: t-test) differs from the m2 and Sargan's over-identifying restriction (hereafter: Sargan test) in Arellano and Bond (1991), both...

This article derives the limiting distributions of the Ordinary Least Squares (OLS) and Least Square Dummy Variable (LSDV) estimators in both spurious and cointegrated panel regressions. The limit theories employed in this article are different from those of Kao (1999) and Phillips and Moon...