Various panel models were presented to resolve the ranking of global health care systems according to efficiency. However, in terms of the spatial distribution of statistical units, spatial dependence as a result of various forms of spatial interactions caused biased estimators in classical...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics. This paper suggests that the measure of half-life used in the literature might be...

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...

This paper builds on the work of Acemoglu et al. (2012) and considers a production network with unobserved common technological factor and establishes general conditions under which the network structure contributes to aggregate fluctuations. It introduces the notions of strongly and weakly...

We derive asymptotic properties of estimators and test statistics to determine - in a grouped data setting - common versus group-specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Present paper makes some comments on the conclusions of (Bonesmo Fredriksen, 2012) who claims among others that “…Furthermore, EU income inequality is found to have increased over the past 25 years, albeit at a slower pace since 2000”. My comments are that the above conclusion depends on...

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...

Recent research in international economics highlights the role of interdependencies of investment decisions and sales of multinational firms. Previous work focused on and provided evidence for aggregate flows or stocks of foreign direct investment, showing that interdependence declines in...