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We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...
Persistent link: https://www.econbiz.de/10005765794
The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...
Persistent link: https://www.econbiz.de/10005196214
In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically stu dy and test for common structures and comovements in panel data with autocorrelation present and by an...
Persistent link: https://www.econbiz.de/10005405998
The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...
Persistent link: https://www.econbiz.de/10005511931
Persistent link: https://www.econbiz.de/10005361590
Persistent link: https://www.econbiz.de/10005186788
Persistent link: https://www.econbiz.de/10005192800
Several panel unit root tests that account for cross section dependence using a common factor structure have been proposed in the literature recently, notably Pesaran (2003), Moon and Perron (2004) and Bai and Ng (2004). This paper is aimed at comparing these three proposed unit root tests for...
Persistent link: https://www.econbiz.de/10005304863
We present an efficiency wage model in which workers'' effort depends on the level and on the growth rate of their wage relative to an alternative wage. Using data for four countries (US, UK, FR, GY), the implications of the model are examined and are found to be in accordance with the...
Persistent link: https://www.econbiz.de/10005304945
We present an efficiency wage model in which workers' effort depends on the level and on the growth rate of their wage relative to an alternative wage. Using data for four countries (US, UK, FR, GY), the implications of the model are examined and are found to be in accordance with the...
Persistent link: https://www.econbiz.de/10004985060