This paper tests for the presence of output mean and variance nonlinearities in international industrial production and UK and US sectoral production growth rates using ARMA-GQARCH, bilinear (BL) and joint BL-GQARCH models. ARMA-GQARCH models confirm the presence of asymmetric variance effects...

This research note examines the impact of federal deficits on U.S. capital inflows. Expanding on the previous work of Bahamani-Oskooee and Payesteh (1994), we employ the relatively new maximum likelihood procedure developed by Johansen (1988) and Johansen and Juselius (1990) to do cointegration...

This "Festschrift" is published to honour the academic career of Hans Schneeweiß, who celebrates his 65th birthday in Spring 1998. The individual chapters contain contributions by his friends and colleagues to the areas in which he himself has excelled and stimulated further research....

We consider several variants of a likelihood-ratio process for quantile regression designed to test composite hypotheses about the combined influence of several covariates over an entire range of conditional quantile functions. A closely related process is proposed as a goodness-of-fit criterion...

Unit root in output, an exponential 2% rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. We show both theoretically, with an...

Although scholars recognize that time-series-cross-section data typically correlate across both time and space, they tend to model temporal dependence directly, often by lags of dependent variables, but to address spatial interdependence solely as a nuisance to be "corrected" by FGLS or to which...

Using median-unbiased estimation based on Augmented-Dickey-Fuller (ADF) regressions, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3-5 year half-lives of deviations from PPP. The confidence intervals of these half-life estimates, however, are extremely wide,...

We propose new generalized method of moments (GMM) estimators for the number of latent factors in linear factor models. The estimators are appropriate for data with a large (small) number of cross-sectional observations and a small (large) number of time series observations. The estimation...

In this paper we provide an analytical review of previous estimates of the rate of return on schooling investments and measure how these estimates vary by country, over time, and by estimation method. We find evidence of reporting (or "file drawer") bias in the estimates and, after due account...

Previous work has analyzed whether luminosity data contain useful information for estimating economic output and concluded that there was significant promise for regions with poor quality economic statistics. The present paper examines alternative measures of the precision of the estimates using...