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Cross-sectional Dependence in Panel Data Analysis

Sarafidis, Vasilis; Wansbeek, Tom - Volkswirtschaftliche Fakultät, … - 2010

This paper provides an overview of the existing literature on panel data models with error cross-sectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong cross-sectional dependence on the properties of the...

Persistent link: https://www.econbiz.de/10008619184

A Spatial-Dependence Continuous-Time Model for Regional Unemployment in Germany

Oud, Johan H. L.; Folmer, Henk; Patuelli, Roberto; … - USI Università della Svizzera italiana - 2008

This paper analyzes patterns of regional labour market development in Germany over the period 2000-2003 by means of a spatial-dependence continuous-time model. (Spatial) panel data are routinely modelled in discrete time. However, there are compelling arguments for continuous time modelling of...

Persistent link: https://www.econbiz.de/10004989698

Continuous-Time Modelling with Spatial Dependence

Oud, Johan H.L.; Folmer, Henk; Patuelli, Roberto; … - Tinbergen Instituut - 2011

This discussion paper led to an article in Geographical Analysis (2012). Volume 44, issue 1, pages 29-46. (Spatial) panel data are routinely modelled in discrete time (DT). However, there are compelling arguments for continuous time (CT) modelling of (spatial) panel data. Particularly, most...

Persistent link: https://www.econbiz.de/10011257042

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013176894

The predictive power of equilibrium exchange rate models

Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …

Persistent link: https://www.econbiz.de/10012139745

Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results

Jönsson, Kristian - 2005

In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial correlation in...

Persistent link: https://www.econbiz.de/10013208476

SUR estimation of error components models with AR(1) disturbances and unobserbed endogenous effects

Egger, Peter - 2001

This paper focusses on the estimation of error components models in the presence of a correlation of the disturbances across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the set-up allows for unequally spaced panel data and...

Persistent link: https://www.econbiz.de/10011492665

Indirect Inference for Dynamic Panel Models

Gourieroux, Christian - 2013

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in...

Persistent link: https://www.econbiz.de/10012754433

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...

Persistent link: https://www.econbiz.de/10011650378

Intertemporal Labor Force Participation of Married Women in Germany: A Panel Data Analysis

Croda, Enrica; Kyriazidou, Ekaterini; Polycarpou, Iannis - Dipartimento di Economia, Università Ca' Foscari Venezia - 2011

This paper analyzes the intertemporal labor force participation behavior of married women using an annual longitudinal sample from the German Socio-Economic Panel. A predominant characteristic of annual participation behavior is the high degree of persistence in individual participation...

Persistent link: https://www.econbiz.de/10009357772