This paper considers dynamic panel models with a factor error structure that is correlated with the regressors. Both short panels (small T) and long panels (large T) are considered. With a small T, consistent estimation requires either a suitable formulation of the reduced form or an appropriate...

It is standard practice in empirical work to allow for clustering in the error covariance matrix if the explanatory variables of interest vary at a more aggregate level than the units of observation. Often, however, the structure of the error covariance matrix is more complex, with correlations...

Current methods for constructing house price indices are based on comparisons of sale prices of residential properties sold two or more times and on regression of the sale prices on the attributes of the properties and of their locations. The two methods have well recognised deficiencies,...

Unit roots in output, an exponential 2% rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...

We consider the situation in which there are multiple proxies for one unobserved explanatory variable in a linear regression and provide a procedure by which the coefficient of interest can be extracted "post hoc" from a multiple regression in which all the proxies are used simultaneously. This...

This paper examines a broad set of alternative temporal cross- section specifications of the demand for money as a means of estimating the degree of substitution between demand deposits and other liquid assets. Despite differences in data bases, model specifications and estimation techniques,...

This study employed a stochastic frontier translog cost and production functions to measure the level of allocative efficiency and it’s determinants in small-holder cocoyam production in Anambra state, Nigeria. A multi-stage random sampling technique was used to select 120 cocoyam farmers in...

At present, academic actuarial research involving the mortality modeling of multiple populations mainly focuses on factor-based approaches. This comes with little attention to interpretable models of mortality that take patterns across space into consideration. To address this, we propose a...

We consider the situation in which there are multiple proxies for one unobserved explanatory variable in a linear regression and provide a procedure by which the coefficient of interest can be extracted "post hoc" from a multiple regression in which all the proxies are used simultaneously. This...

The purpose of this study is to estimate the effects of Real Effective Exchange Rate (REER) on Sudan trade balance (TB). The present situation is confusing for all in Sudan with discrepancies in market effective foreign currencies and government declared prices. For example, one US$ in the...