Research into time series models of changing variance and covariance, which is often called volatility model, has exploded in the last 10 years. Financial series are characterized by periods of large volatility followed by periods of relative quietness. This type of clustering led to the idea...

Growth rate data that are collected incompletely in cross-sections is a quite frequent problem. Chow and Lin (1971) have developed a method for predicting unobserved disaggregated time series and we propose an extension of the procedure for completing cross-sectional growth rates similar to the...

Completing data sets that are collected in heterogeneous units is a quite frequent problem. Chow and Lin (1971) were the first to develop a united framework for the three problems (interpolation, extrapolation and distribution) of predicting times series by related series (the 'indicators')....

Growth rate data that are collected incompletely in cross-sections is a quite frequent problem. Chow and Lin (1971) have developed a method for predicting unobserved disaggregated time series and we propose an extension of the procedure for completing cross-sectional growth rates similar to the...

Missing data in dynamic panel models occur quite often since detailed recording of the dependent variable is often not possible at all observation points in time and space. In this paper we develop classical and Bayesian methods to complete missing data in panel models. The Chow-Lin (1971)...

Completing data sets that are collected in heterogeneous units is a quite frequent problem. Chow and Lin (1971) were the first to develop a united framework for the three problems (interpolation, extrapolation and distribution) of predicting times series by related series (the 'indicators')....

Completing data sets that are collected in heterogeneous units is a quite frequent problem. Chow and Lin (1971) were the first to develop a unified framework for the three problems (interpolation, extrapolation and distribution) of predicting times series by related series (the `indicators')....

Endogeneity and exogeneity are topics that are mainly discussed in macroeconomics. We show that sales response functions (SRF) are exposed to the same problem if we assume that the control variables in a SRF refl ect behavioral reactions of the supply side. The supply side actions are covering a...

Flow data across regions can be modeled by spatial econometric models, see LeSage and Pace (2009). Recently, regional studies became interested in the aggregation and disaggregation of flow models, because trade data cannot be obtained at a disaggregated level but data are published on an...