Showing 1 - 10 of 12,286
Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...
Persistent link: https://www.econbiz.de/10010295881
This paper evaluates the out-of-sample performance of two stochastic models used to forecast age specific mortality rates: (1) the model proposed by Lee and Carter (1992); and (2) a set of univariate autoregressions linked together by a common residual covariance matrix (Denton, Feavor, and...
Persistent link: https://www.econbiz.de/10012723419
This paper proposes an alternative estimation procedure for estimating the unobserved effects panel stochastic frontier models with endogenous regressors. Specifically, two-stage estimation method is used, where in the first stage, the frontier parameters are estimated based on GMM procedure,...
Persistent link: https://www.econbiz.de/10012891869
This article shows that, under some common assumptions, the pointwise synthetic control estimator would be unbiased if the outcome variable follows an autoregressive process. However, if such autoregressive process is nonstationary, then the variance of the pointwise estimator would be sensitive...
Persistent link: https://www.econbiz.de/10013241618
Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...
Persistent link: https://www.econbiz.de/10011650493
The truncated bivariate normal stochastic frontier model (TBN-SFM), which is globally unidentifiable on its natural parameter space, has been recently shown to be locally near-identifiable even under the identifying parametric restrictions. Maximum Likelihood estimation of such a model is...
Persistent link: https://www.econbiz.de/10013158500
Heckman's (1979) sample selection model has been employed in three decades of applications of linear regression studies. The formal extension of the method to nonlinear models, however, is of more recent vintage. A generic solution for nonlinear models is proposed in Terza (1998). We have...
Persistent link: https://www.econbiz.de/10012724591
estimation procedures that, by relying on a first-difference data transformation, achieve consistency when n goes to infinity …
Persistent link: https://www.econbiz.de/10012944010
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...
Persistent link: https://www.econbiz.de/10010289485
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...
Persistent link: https://www.econbiz.de/10003746940