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Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?
Westerlund, Joakim; Basher, Syed A. - Volkswirtschaftliche Fakultät, … - 2006
A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange …. This paper provides an extensive evaluation of this power argument to the use of panel data in the forecasting context. In … power gains, pooling only the parameters of the forecasting equation, as has been suggested in the previous literature, does …
Persistent link: https://www.econbiz.de/10005789565
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On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey
Sosvilla-Rivero, Simón; Ramos-Herrera, Maria del Carmen - Asociación Española de Economía y Finanzas … - 2012
forecasting ability for time horizons from 3 to 9 months, although only for the 3-month ahead expectations we obtain marginal …
Persistent link: https://www.econbiz.de/10009650316
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Analysing and forecasting price dynamics across euro area countries and sectors : a panel VAR approach
Dées, Stéphane; Güntner, Jochen - 2014
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10010411883
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Observation-driven hierarchical density models for missing data imputation
Khanna, Yonas; Lucas, André - 2025
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...
Persistent link: https://www.econbiz.de/10015373862
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Health care expenditure and income in the OECD reconsidered: Evidence from panel data
Baltagi, Badi H.; Moscone, Francesco - 2010
This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income....
Persistent link: https://www.econbiz.de/10010269764
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On the stationarity of per capita carbon dioxide emissions over a century
Christidou, Maria; Panagiotidis, Theodore; Sharma, Abhijit - 2013
This paper examines the stationarity of carbon dioxide (CO2) emissions per capita for a set of 36 countries covering the period 1870-2006. We employ recently developed unit root and stationarity tests that allow for the mean reverting process to be nonlinear and take into account cross sectional...
Persistent link: https://www.econbiz.de/10010500249
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Revisiting the Great Ratios Hypothesis
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2022
The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in economics as conditions for balanced growth,...
Persistent link: https://www.econbiz.de/10013177659
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Estimation of Heterogeneous Panels with Structural Breaks
Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - Center for Policy Research, Maxwell School - 2015
This paper extends Pesaran's (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are...
Persistent link: https://www.econbiz.de/10011269091
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Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins
Araujo, Juliana; Lastauskas, Povilas; Papageorgiou, Chris - Faculty of Economics, University of Cambridge - 2015
The capital flows network has changed substantially, bringing new investors and target economies into play. Related, a recent intensification of capital flows to low income countries (LICs) has posed a number of questions. Most importantly, the very nature of those flows and important factors...
Persistent link: https://www.econbiz.de/10011186608
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On the stationarity of per capita carbon dioxide emissions over a century
Christisou, Maria; Panagiotidis, Theodore; Sharma, Abhijit - 2013
This paper examines the stationarity of carbon dioxide (CO2) emissions per capita for a set of 36 countries covering the period 1870-2006. We employ recently developed unit root and stationarity tests that allow for the mean reverting process to be nonlinear and take into account cross sectional...
Persistent link: https://www.econbiz.de/10010734363