The objective of this paper is to provide a monthly estimation of term structure of spot interest rates and forward interest rates since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss metido, the approximating functions of two of the methods most...

Using the multiple indicator-multiple cause (MIMIC) approach, this paper generates a novel global database by estimating the size of the shadow economy for 157 countries over 1991 to 2017. The results suggest that the OECD countries are by far the lowest with values below 20% of off official GDP...

The paper quantifies the role of factors associated with the growth (or decline) of micro and small businesses in European economies. The growth is related to the levels of employment and value added in enterprises, as well as, ten institutional variables. We test the data for consistency of...

Using the multiple indicator-multiple cause (MIMIC) approach, this paper generates a novel global database by estimating the size of the shadow economy for 157 countries over 1991 to 2017. The results suggest that the OECD countries are by far the lowest with values below 20% of off official GDP...

When estimating the parameters of a process, researchers have to choose a reference unit of time (unit period). If the unit period is set equal to the sampling interval, then the parameter estimates will not necessarily be comparable across data sets with different sampling frequencies. However,...

This study focused on the choice of functional forms and their parametrization (estimation of free parameters and calibration of other parameters) in the context of CGE models. Various types of elasticities are defined, followed by a presentation of the functional forms most commonly used in...

We use a heterogeneous panel VAR model identified through factor analysis to study the dynamic response of exports, imports, and per capita GDP growth to a “global” aid shock. We find that a global aid shock can affect exports, imports, and growth either positively or negatively. As a...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...