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Simulation estimation of two-tiered dynamic panel Tobit models with an applic...
In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood... -
Sequential numerical integration in nonlinear state space models for microeco...
This paper discusses the estimation of a class of nonlinear state space models including nonlinear panel data models with autoregressive error components. A health economics... -
Panel cointegration tests of the Fisher effect (replication data)
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a... -
Unemployment and liquidity constraints (replication data)
We present a dynamic framework for the interaction between borrowing (liquidity) constraints and deviations of actual hours from desired hours, both measured by discrete-valued... -
Gravity models of intra-EU trade: application of the CCEP-HT estimation in he...
We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be... -
A simple panel unit root test in the presence of cross-section dependence (re...
A number of panel unit root tests that allow for cross-section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically... -
Social capital, barriers to production and capital shares: implications for t...
Recent advances in the growth literature have proposed that difficult-to-quantify concepts such as social capital may play an important role in explaining the degree of... -
An empirical analysis of nonstationarity in a panel of interest rates with fa...
This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross-sectional... -
Dynamic factor extraction of cross-sectional dependence in panel unit root te...
Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor-based... -
Long-run trends in internal migrations in italy: a study in panel cointegrati...
The objective of this paper is to examine the long-run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
Panel unit root tests and spatial dependence (replication data)
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there... -
Modelling multi-period inflation uncertainty using a panel of density forecas...
This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic... -
Intergenerational mobility and sample selection in short panels (replication ...
Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be... -
Wealth dynamics: reducing noise in panel data (replication data)
Although the asset data from the Health and Retirement Study (HRS) is of very high quality, there is sufficient noise to frustrate attempts to study saving behaviour by... -
Estimating an economic model of crime using panel data from North Carolina (r...
This paper replicates the Cornwell and Trumbull (1994) estimation of a crime model using panel data on 90 counties in North Carolina over the period 1981-1987. While the Between... -
Estimating the effect of smoking on birth outcomes using a matched panel data...
Estimating the casual effect of smoking on birth outcomes is difficult since omitted (unobserved) variables are likely to be correlated with a mother's decision to smoke. While... -
I didn't tell, and I won't tell: dynamic response error in the SIPP (replicat...
Using state administrative records matched to the 1984 Survey of Income and Program Participation, we examine intertemporal relationships in response errors. False negative... -
The dynamics of health in the British Household Panel Survey (replication data)
This paper considers the dynamics of a categorical indicator of self-assessed health using eight waves (1991-1998) of the British Household Panel Survey (BHPS). Our analysis has... -
More powerful panel data unit root tests with an application to mean reversio...
Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available....
