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The small sample performance of system Generalized Method of Moments (GMM) and an alternative Transformed Maximum Likelihood (TML) estimator is investigated in Monte Carlo simulations, implementing a data generating process that tracks important features inherent in dynamic panels used in...
Persistent link: https://www.econbiz.de/10012934827
This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo...
Persistent link: https://www.econbiz.de/10013138328
This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T … are large. We derive the bias term in an order p dynamic panel data model and the limiting distribution of the estimator … between 2000 and 2015 shows dynamic panel data model is an effective method to produce effective trading strategies …
Persistent link: https://www.econbiz.de/10012938610
Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...
Persistent link: https://www.econbiz.de/10009752169
We examine the (potentially nonlinear) relationship between inequality and growth using a method which does not require an a priori assumption on the underlying functional form. This approach reveals a plateau completely missed by commonly used (nonlinear) parametric approaches - the economy...
Persistent link: https://www.econbiz.de/10010469680
a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of …
Persistent link: https://www.econbiz.de/10011722181
particular, we propose to test the Environmental Kuznets Curve (EKC) hypothesis for a panel of 24 OECD countries and 32 non … semiparametric panel data model. Our results corroborates that the nature and validity of the income–pollution relationship …
Persistent link: https://www.econbiz.de/10012388215
large panel of data comprising 40 years of monthly observations on 23 developed countries. Heterogeneity, complemented by …
Persistent link: https://www.econbiz.de/10014080569
with the underlying theory. Based on a panel version of the Engle and Granger [Engle, R.F., Granger C.W.J., 1987. Co … the residuals of the panel-based estimated monetary model are stationary. This indicates that on a pooled time series …
Persistent link: https://www.econbiz.de/10014141544
expectancy will be reduced. The sample covers all industrial world. Data are taken from OECD. The elaboration of these panel data …
Persistent link: https://www.econbiz.de/10013086924