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or clustering type behaviour. At an econometric level, the model is shown to nest various extant dynamic panel data …This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross … models. These include panel AR models, spatial models, which accommodate weak dependence only, and panel models where cross …
Persistent link: https://www.econbiz.de/10011052336
or clustering type behaviour. At an econometric level, the model is shown to nest various extant dynamic panel data …This paper proposes a nonlinear panel data model which can generate endogenously both `weak' and `strong' cross … models. These include panel AR models, spatial models, which accommodate weak dependence only, and panel models where cross …
Persistent link: https://www.econbiz.de/10009647759
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005703526
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005094264
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005101822
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10005489360
Recently some new techniques have been proposed for the estimation of the slope coefficients in presence of unobserved components. Though, the presence of common observed and unobserved factors is neither considered or the estimation of their impacts is not taken into account. In this work a...
Persistent link: https://www.econbiz.de/10008685061
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...
Persistent link: https://www.econbiz.de/10005604790
) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data … estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution. …
Persistent link: https://www.econbiz.de/10005263898
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...
Persistent link: https://www.econbiz.de/10005264217