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Hysteresis in Unemployment:Evidence from Latin America
Mednik, Matias; Rodriguez, Cesar M.; Ruprah, Inder J. - Inter-American Development Bank - 2008
This paper tests the hysteresis hypothesis in unemployment for 13 Latin American countries covering the period 1980-2005. The tests exploit the time series and the cross sectional variation of the series, and allows for cross section dependence and a different number of endogenously determined...
Persistent link: https://www.econbiz.de/10005529073
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Inference with dependent data using cluster covariance estimators
Bester, C. Alan; Conley, Timothy G.; Hansen, Christian B. - In: Journal of Econometrics 165 (2011) 2, pp. 137-151
This paper presents an inference approach for dependent data in time series, spatial, and panel data applications. The …
Persistent link: https://www.econbiz.de/10010577508
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On the Generalized Brownian Motion and its Applications in Finance
Høg, Esben - 2008
This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the limitation of the classical affine models. In particular, the paper expands the flexibility of the DTSMs by applying generalized Brownian motions with dependent increments as the governing force of...
Persistent link: https://www.econbiz.de/10012722476
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Credit Risk and Business Cycle Over Different Regimes
Marcucci, Juri - 2008
In the recent banking literature on the relationship between credit risk and the business cycle, the presence of asymmetric effects both across credit risk regimes and through the business cycle has been generally neglected. Employing threshold regression models both at the aggregate and the...
Persistent link: https://www.econbiz.de/10012723726
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Predicting Global Stock Returns
Hjalmarsson, Erik - 2008
addition, I develop new methods for predictive regressions with panel data. Inference based on the standard fixed effects …
Persistent link: https://www.econbiz.de/10012723789
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The Stambaugh Bias in Panel Predictive Regressions
Hjalmarsson, Erik - 2008
This paper analyzes predictive regressions in a panel data setting. The standard fixed effects estimator suffers from a … over to the panel case. The results are illustrated with an application to predictability in international stock indices …
Persistent link: https://www.econbiz.de/10012725695
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Permanence of Abnormal Returns and Possible Applications for Company Valuation : Empirical Study of Profitability Sustainability and Fade Rates in the US Capital Market and Suggest...
Kengelbach, Dr. Jens - 2007
Empirical experience and microeconomic theory suggest that abnormal profit margins fade show a mean reversion trend within a certain amount of time. The present empirical study analyzes this phenomenon on the basis of the publicly available data of more than 10,000 US-listed companies since...
Persistent link: https://www.econbiz.de/10012729625
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Unit Root Tests and the Classification of Corporate Financial Behaviour
Bontempi, Maria Elena - 2007
panel estimation techniques applied to longitudinal data (large N, small T) may hide the presence of companies following a …-ratio patterns. This approach is based on single-company and panel unit root tests. Results show that the behaviour of enterprises is …
Persistent link: https://www.econbiz.de/10012731874
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Predictive Regressions with Panel Data
Hjalmarsson, Erik - 2006
This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors … regressions when using time-series data to a large extent also carry over to the panel case. However, practical solutions are more … readily available when using panel data. The results are illustrated with an application to predictability in international …
Persistent link: https://www.econbiz.de/10012732507
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Volatility of Exchange Rates in Selected New EU Members : Evidence from Daily Data
Fidrmuc, Jarko - 2008
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries' adopted inflation targeting regime, they occasionally tried to manage their exchange...
Persistent link: https://www.econbiz.de/10012772395