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Aggregation of Linear Models for Panel Data

Petkovic, Alexandre; Veredas, David - 2009

We study the impact of individual and temporal aggregation in linear static and dynamic models for panel data in terms …

Persistent link: https://www.econbiz.de/10014204593

To Pool or Not to Pool : What Is a Good Strategy for Parameter Estimation and Forecasting in Panel Regressions?

Wang, Wendun - 2018

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data …

Persistent link: https://www.econbiz.de/10012927647

Using lasso-type penalties to model time-varying covariate effects in panel data regressions : a novel approach illustrated by the 'death of distance' in international trade

Hess, Wolfgang; Persson, Maria; Rubenbauer, Stephanie; … - 2013

When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects …. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized …

Persistent link: https://www.econbiz.de/10009722024

Nonstationary-volatility robust panel unit root tests and the great moderation

Hanck, Christoph; Czudaj, Robert - 2013

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …

Persistent link: https://www.econbiz.de/10009779045

Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper

Hanck, Christoph; Czudaj, Robert - 2013

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …

Persistent link: https://www.econbiz.de/10010343777

Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels

Sender, Samuel J. - 2017

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...

Persistent link: https://www.econbiz.de/10012970628

Breaks in the Phillips Curve : Evidence from Panel Data

Wright, Jonathan H.; Smith, Simon C.; Timmermann, Allan - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and …

Persistent link: https://www.econbiz.de/10014354910

Breaks in the Phillips Curve : Evidence from Panel Data

Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and …

Persistent link: https://www.econbiz.de/10014358187

Breaks in the Phillips Curve : Evidence from Panel Data

Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - National Bureau of Economic Research - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and …

Persistent link: https://www.econbiz.de/10014250170

ALICE : a new inflation monitoring tool

Bondt, Gabe J. de; Hahn, Elke; Zekaite, Zivile - 2018

This paper develops Area-wide Leading Inflation CyclE (ALICE) indicators for euro area headline and core inflation with an aim to provide early signals about turning points in the respective inflation cycle. The series included in the two composite leading indicators are carefully selected from...

Persistent link: https://www.econbiz.de/10011901421