A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A semiparametric profile likelihood approach based on the first-stage local linear...

The purpose of the present paper is to relate two important concepts of time series analysis, namely, nonlinearity and persistence. Traditional measures of persistence are based on correlations or periodograms, which may be inappropriate under nonlinearity and/or non-Gaussianity. This article...

Maize is a major staple food in Sub-Saharan Africa. Monthly maize prices in Tanzania are analyzed since the country is an important maize producer and exporter in East Africa. We analyze price transmission between the five most important urban regions of Tanzania between 2000 and 2008 which...

Efficiency measurement naturally requires the definition of a frontier as a benchmark indicating efficiency. Usually a measure reflecting the distance of a data point to the frontier indicates the level of efficiency. One of the crucial characteristics to distinguish efficiency measurement tools...

One of the most recently observed stylised facts in the field of economic growth is the persistent bimodal shape of the world income distribution.. Of course, some theoretical explanations for this new stylised fact already have been provided by neoclassical growth theory within a maximising...

This paper deals with optimal window width choice in non-parametric lag- or spectral window estimation of the spectral density of a stationary zero-mean process. Several approaches are reviewed: the cross-validation based methods described by Hurvich (1985), Beltrao & Bloomfield (1987) and...

The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...