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The dynamic linkages among exports, R&D and productivity

Máñez, Juan A.; Rochina-Barrachina, María E.; … - Departament d'Estructura Econòmica, Facultad de Economía - 2013

This paper estimates a dynamic model of a firm’s decision to export and invest in R&D, in which we allow past export and R&D experience to endogenously affect productivity. In our empirical strategy we proceed in two steps: in the first step, using as starting point the traditional control...

Persistent link: https://www.econbiz.de/10010617348

Estimation of SEM with GARCH errors

Krishnakumar, Jaya; Kabili, Andi; Roko, Ilir - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3153-3181

expressions of the score, the Hessian and the information matrices are derived and used for implementing QML and GMM estimation … of GMM over QML is shown in the non-normal case. A simulation study comparing different gradient algorithms for ML as … well as the finite sample behaviour of ML and GMM shows that using analytical results instead of numerical approximations …

Persistent link: https://www.econbiz.de/10010617664

La structure du capital et la profitabilité : Une étude empirique sur données de panel françaises

Kebewar, Mazen - HAL - 2012

'une étude sur panel dynamique en utilisant la méthode des moments généralisée (GMM), qu'il y a une hétérogénéité des …

Persistent link: https://www.econbiz.de/10010618158

Testing for optimal monetary policy via moment inequalities

Coroneo, Laura; Corradi, Valentina; Monteiro, Paulo Santos - Department of Economics and Related Studies, University … - 2013

The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime, commonly commitment or discretion. In this paper we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest commitment and discretion...

Persistent link: https://www.econbiz.de/10010630695

An application of New Keynesian models to inflation in Croatia

Domić, Alan - In: Business Systems Research 3 (2012) 2, pp. 6-13

fourth quarter of 2011. Methods/Approach: We use the generalized method of moments (GMM) estimator to empirically estimate …

Persistent link: https://www.econbiz.de/10010571476

Some properties of the LIML estimator in a dynamic panel structural equation

Akashi, Kentaro; Kunitomo, Naoto - In: Journal of Econometrics 166 (2012) 2, pp. 167-183

-maximum likelihood (RQML), the generalized method of moment (GMM) and the limited information maximum likelihood (LIML) estimators for a …-section dimension) are large. When we use the forward-filtering due to Alvarez and Arellano (2003), the WG, the RQML and GMM estimators …

Persistent link: https://www.econbiz.de/10010574093

Approximated likelihood and root estimators for spatial interaction in spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Regional Science and Urban Economics 42 (2012) 3, pp. 446-458

In this paper, we first generalize an approximate measure of spatial dependence, the APLE statistic (Li et al., 2007), to a spatial Durbin (SD) model. This generalized APLE takes into account exogenous variables directly and can be used to detect spatial dependence originating from either a...

Persistent link: https://www.econbiz.de/10010574119

Convergence in price levels across US cities

Huang, Ho-Chuan; Liu, Wei-Han; Yeh, Chih-Chuan - In: Economics Letters 114 (2012) 3, pp. 245-248

This paper empirically tests for convergence in consumer price indices across 17 major cities in US over the 1918–2008 period. By using the novel OLS estimator introduced by Bao, Y., Dhongde, S., 2009. Testing convergence in income distribution. Oxford Bulletin of Economics and Statistics 71,...

Persistent link: https://www.econbiz.de/10010576409

A cautionary note on tests of overidentifying restrictions

Parente, Paulo M.D.C.; Santos Silva, J.M.C. - In: Economics Letters 115 (2012) 2, pp. 314-317

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

Persistent link: https://www.econbiz.de/10010576435

Inventories, inflation dynamics and the New Keynesian Phillips curve

Lubik, Thomas A.; Teo, Wing Leong - In: European Economic Review 56 (2012) 3, pp. 327-346

specifications of the New Keynesian Phillips curve using GMM. We find that the predictive power of the inventory-specification at …

Persistent link: https://www.econbiz.de/10010577048