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An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009488893
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a …
Persistent link: https://www.econbiz.de/10012257115
Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic...
Persistent link: https://www.econbiz.de/10012776655
This paper considers a class of fixed-T nonlinear panel models with time-varying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficients, the time-varying link function, the distribution of counterfactual...
Persistent link: https://www.econbiz.de/10013307459
Persistent link: https://www.econbiz.de/10011850379
We propose a novel time-series econometric framework to forecast U.S. Presidential election outcomes in real time by combining polling data, economic fundamentals, and political prediction market prices. Our model estimates the joint dynamics of voter preferences across states. Applying our...
Persistent link: https://www.econbiz.de/10015194984
In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...
Persistent link: https://www.econbiz.de/10011710009
Persistent link: https://www.econbiz.de/10011572379
This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings...
Persistent link: https://www.econbiz.de/10013006954