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Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time

Mesters, Geert; Koopman, Siem Jan - 2012

An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic … panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure … the cross-section and the time series dimensions. The estimation method facilitates the flexible modeling of large panels …

Persistent link: https://www.econbiz.de/10010326209

Working for a Good Cause

Dur, Robert; Zoutenbier, Robin - 2011

A rich literature in public administration has shown that public sector employees have stronger altruistic motivations than private sector employees. Recent economic theories stress the importance of mission preferences, and predict that altruistic people sort into the public sector when they...

Persistent link: https://www.econbiz.de/10010326218

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

Persistent link: https://www.econbiz.de/10010326219

Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence

Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2013

This paper examines the issue of coercive journal self citations and the practical usefulness of two recent journal performance metrics, namely the Eigenfactor score, which may be interpreted as measuring “Journal Influence”, and the Article Influence score, using the Thomson Reuters ISI Web...

Persistent link: https://www.econbiz.de/10010326262

Quantifying Productivity Gains from Foreign Investment

Fons-Rosen, Christian; Kalemli-Ozcan, Sebnem; Sorensen, … - 2013

We quantify the causal effect of foreign investment on total factor productivity (TFP) using a new global firm-level database. Our identification strategy relies on exploiting the difference in the amount of foreign investment by financial and industrial investors and simultaneously controlling...

Persistent link: https://www.econbiz.de/10010326288

Are Forecast Updates Progressive?

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013

Many macroeconomic forecasts and forecast updates like those from IMF and OECD typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast...

Persistent link: https://www.econbiz.de/10010326444

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

Persistent link: https://www.econbiz.de/10010326508

Product Heterogeneity, Intangible Barriers and Distance Decay: The Effect of Multiple Dimensions of Distance on Trade across Different Product Categories

Lankhuizen, Maureen B.M.; de Graaff, Thomas; de Groot, … - 2012

We empirically examine the heterogeneity in the effects of multiple dimensions of distance on trade across detailed product groups. Using finite mixture modeling on bilateral trade data at the 3-digit SITC level, we endogenously group product categories into an, a priori unknown, number of...

Persistent link: https://www.econbiz.de/10010326526

Globalization, pass-through and inflation dynamic

Benigno, Pierpaolo; Faia, Ester - 2010

An important aspect of the globalization process is the increase in interdependence among countries through the deepening of trade linkages. This process should increase competition in each destination market and change the pricing behavior of firms. We present an extension of Dornbusch (1987)'s...

Persistent link: https://www.econbiz.de/10010326562

Assessing the development gap

Sinitsina, Irina; Chubrik, Alexander; Denisova, Irina; … - 2007

Current report aims to identify major existing gaps in the four socio-economic dimensions (economic, human, environmental, and institutional) and to reveal those gaps which could potentially hinder social and economic integration of neighbor states with the EU. To achieve this, the authors aim...

Persistent link: https://www.econbiz.de/10010326581