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Determining the number of groups in latent panel structures with an application to income and democracy
Lu, Xun; Su, Liangjun - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 729-760
We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of groups is unknown and has to be determined empirically. We propose a testing procedure to determine the number of groups. Our test is a residual-based Lagrange multiplier-type...
Persistent link: https://www.econbiz.de/10011801632
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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...
Persistent link: https://www.econbiz.de/10014357208
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Real convergence using TAR panel unit root tests : an application to the Southern African Development Community
Tipoy, Christian K. - In: Spoudai : journal of economics and business 69 (2019) 1/2, pp. 45-61
The African Union advocates the creation of a monetary union in stages for the entire continent starting with each of the different sub-regions. Building from that, the Southern African Development Community has, among its goals, the creation of a monetary union for its member states. However,...
Persistent link: https://www.econbiz.de/10012063030
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Growth and structural changes in transition countries : the chicken or the egg?
Olczyk, Magdalena; Kordalska, Aleksandra - 2018
The theoretical analysis of structural changes in the context of economic growth has a long tradition. However, studies which analyze the empirical relationship between these two economic categories are still very rare. In the literature, whether growth causes structural changes or the other way...
Persistent link: https://www.econbiz.de/10011844751
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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
results show that the conventional pricing factors have difficulty in explaining the cross section of stock returns. In …
Persistent link: https://www.econbiz.de/10011800879
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Asymmetric Capital Structure Adjustments : New Evidence from Dynamic Panel Threshold Models
Dang, Viet Anh - 2012
We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms' adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as...
Persistent link: https://www.econbiz.de/10013116879
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Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence
Kumar, Rakesh - 2016
This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology...
Persistent link: https://www.econbiz.de/10013002313
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Panel data gravity models of international trade
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2014
of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective … across pairs or regional units or even across cross-sectional units and time inevitably leads to a panel data structure of …
Persistent link: https://www.econbiz.de/10010237192
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Latent Factor Analysis in Short Panels
Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2023
statistic for tests of the number of factors. We derive the AUMPI characterization from inequalities ensuring the monotone … market based on the selected number of factors. We observe an uptrend in idiosyncratic volatility while the systematic risk … reveal that observed factors struggle spanning latent factors with a discrepancy between the dimension of the two factor …
Persistent link: https://www.econbiz.de/10014350141
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Exploiting information from singletons in panel data analysis : a GMM approach
Bruno, Randolph; Magazzini, Laura; Stampini, Marco - 2019
We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...
Persistent link: https://www.econbiz.de/10012034327