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Error Correction Testing in Panels with Common Stochastic Trends (replication...
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Determination of Long-run and Short-run Dynamics in EC-VARMA Models via Canon...
This article studies a simple, coherent approach for identifying and estimating error-correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation... -
Reanalyzing Zero Returns to Education in Germany (replication data)
Pischke and von Wachter (Review of Economics and Statistics 2008; 90(3): 592-598) find zero earnings returns to compulsory schooling in the basic school track in Germany. We... -
Modelling Inflation Volatility (replication data)
This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk... -
Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models (r...
This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the... -
Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Applic...
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854-871) are contingent on the specification of the model. The use of... -
Maintaining (Locus of) Control? Data Combination for the Identification and I...
Factor structure models are widely used in economics to extract latent variables, such as personality traits, and to measure their impact on outcomes of interest. The... -
Identification and Estimation of Distributional Impacts of Interventions Usin...
This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are... -
A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips ...
In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating... -
The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of ...
We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty... -
An Extension of the<i>J</i>-Test to a Spatial Panel Data Framework (replicati...
Kelejian (Letters in Spatial and Resources Sciences; 1: 3-11) extended the J-test procedure to a spatial framework. Although his suggested test was computationally simple and... -
A Social Interactions Model with Endogenous Friendship Formation and Selectiv...
This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social... -
Identifying the Independent Sources of Consumption Variation (replication data)
By representing a system of budget shares as an approximate factor model we determine its rank, i.e.?the number of common functional forms or factors, and we estimate a base of... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous... -
Estimation of Dynamic Panel Data Models with Cross-Sectional Dependence: Usin...
This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses... -
Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Fron...
This paper proposes a unified framework for accommodating both time and cross-sectional dependence in modelling technical efficiency in stochastic frontier models by combining... -
Identification of Spatial Durbin Panel Models (replication data)
This paper considers identification of spatial Durbin dynamic panel models under 2SLS and ML estimations. We show that the parameters are generally identified via 2SLS moment... -
Panel Data Models with Grouped Factor Structure Under Unknown Group Membershi...
This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the... -
Firm-Level Productivity Spillovers in China's Chemical Industry: A Spatial Ha...
This paper assesses intra-sectoral spillovers in total factor productivity (TFP) across Chinese producers in the chemical industry using panel data on 12,552 firms observed over...
