Despite the abundance of different econometric techniques introduced in the empirical literature on convergence, it is usually assumed that shocks are uncorrelated across countries. This is surely unlikely for most of the datasets considered and we investigate a possibility so far ignored,...

Herd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions...

This paper models the correlated shocks across regional housing markets and the spillover effects in time-varying housing price volatilities. We explore two kinds of diffusion channels: geographic closeness and economic similarity. Our empirical investigation is based on the Case-Shiller housing...

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common correlated effects (CCE) estimation technique, we...

Exploring the influencing factors of the ecological footprint is a current focus. However, the impacts of globalization on the ecological footprint are inconclusive due to the complexity among variables. The objective of this paper is to investigate the effects of globalization on the ecological...

This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore,...

A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...

Using data from the German Socio-Economic Panel (GSOEP), this paper analyzes the dynamics of equivalent income in Germany in the eighties and nineties. Special emphasis is given to the separation of permanent and transitory components, the persistence of transitory shocks and their implications...