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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... -
Estimating the Dynamics and Persistence of Financial Networks, with an Applic...
We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate... -
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... -
Stocks, bonds, money markets and exchange rates: measuring international fina...
Understanding the complexity of the financial transmission process across various assets-domestically as well as within and across asset classes-requires the simultaneous... -
Using the variance structure of the conditional autoregressive spatial specif...
This study investigates the pattern of knowledge spillovers arising from patent activity between European regions. A Bayesian hierarchical model is developed that specifies... -
Growth, technological interdependence and spatial externalities: theory and e...
This paper presents a theoretical growth model which explicitly takes into account technological interdependence among economies and examines the impact of spillover effects.... -
Unravelling financial market linkages during crises (replication data)
An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during... -
Crack spread hedging: accounting for time-varying volatility spillovers in th...
Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A... -
PATENTS, R&D, AND TECHNOLOGICAL SPILLOVERS AT THE FIRM LEVEL: SOME EVIDEN...
This paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international...
