Results 1 - 10 of 2,301

Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper

by Peter Pedroni , 1997
"... We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed ..."
Abstract - Cited by 529 (13 self) - Add to MetaCart
We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous

Linear Regression Limit Theory for Nonstationary Panel Data

by Peter C. B. Phillips, Hyungsik R. Moon - ECONOMETRICA , 1999
"... This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section Ž n. and time series Ž T. observations. The limit theory allows for both sequential limits, wherein T� � followed by n��, and joint limits where T, n�� simultaneously; and the relationship ..."
Abstract - Cited by 312 (22 self) - Add to MetaCart
vectors when there is no individual time series cointegration and when there is heterogeneous cointegration. These relations are parameterized in terms of the matrix regression coefficient of the long-run average covariance matrix. In the case of homogeneous and near homogeneous cointegrating panels, a

Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

by Nelson C. Mark, Donggyu Sul - Oxford Bulletin of Economics and Statistics , 2003
"... We study the panel dynamic ordinary least square (DOLS) estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects and time-s ..."
Abstract - Cited by 92 (0 self) - Add to MetaCart
panel DOLS to estimate coefficients of the long-run money demand function from a panel of 19 countries with annual observations that span from 1957 to 1996. The estimated income elasticity is 1.08 (asymptotic s.e. 0.26) and the estimated interest rate semi-elasticity is)0.02 (asymptotic s.e. 0

General Diagnostic Tests for Cross Section Dependence

by M. Hashem Pesaran - in Panels, CESifo Working Paper Series No. 1229; IZA Discussion Paper No
"... This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of the OL ..."
Abstract - Cited by 247 (20 self) - Add to MetaCart
of these tests are derived and their power function analyzed under different alternatives. It is shown that these tests are correctly centred for fixed N and T, and are robust to single or multiple breaks in the slope coefficients and/or error variances. The small sample properties of the tests are investigated

Estimating the long-run user cost elasticity

by Huntley Schaller, Huntley Schaller - Journal of Monetary Economics , 2006
"... The user cost elasticity is a parameter of central importance in economics, with implications for monetary policy, macroeconomic models, tax policy, growth, and many other areas. If the supply curve for capital is upward sloping and shocks to demand are important (as they are likely to be over the b ..."
Abstract - Cited by 22 (3 self) - Add to MetaCart
, open economy and appropriate correction for small sample bias yields an estimate of the long-run user cost elasticity which is about 75 % larger (in absolute value) than the best existing estimate. In addition, the paper makes three further contributions: accounting for increases in depreciation (due

Using the correct statistical test for the equality of regression coefficients. Criminology

by Robert Brame, Paul Mazerolle, Alex Piquero , 1998
"... Criminologists are ofren interested in examining interactive effects within a regression context. For example, “holding other relevant fac-tors constant, is the effect of delinquent peers on one’s own delinquent conduct the same for males and females? ” or “is the effect of a given treatment program ..."
Abstract - Cited by 178 (4 self) - Add to MetaCart
for the difference between slopes in making these coeficient comparisons. While there is considerable consensus as to the appropriateness of this strategy, there has been some confusion in the criminological literature as to the correct estimator of the standard error of the difference, the standard deviation

Long-run rising supply price and the numéraire

by Arrigo Opocher, Ian Steedman - Metroeconomica , 2008
"... When a set of industries is kept in long-run equilibrium, it is never possible to change just one price at a time. But when various (or all) prices are changing, the direction of change of any one price can depend on the numéraire adopted. What does it mean, then, to say that a long-run supply curve ..."
Abstract - Cited by 2 (2 self) - Add to MetaCart
When a set of industries is kept in long-run equilibrium, it is never possible to change just one price at a time. But when various (or all) prices are changing, the direction of change of any one price can depend on the numéraire adopted. What does it mean, then, to say that a long-run supply

Implications of Long-Run Risk for Asset Allocation Decisions

by Doron Avramov, Scott Cederburg , 2012
"... This paper proposes a structural approach to long-horizon asset allocation. In particular, the investor draws inferences about asset returns from a vector autoregression (VAR) with economic restrictions on the intercept, slope, and covariance matrix implied by the long-run risk model of Bansal and Y ..."
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This paper proposes a structural approach to long-horizon asset allocation. In particular, the investor draws inferences about asset returns from a vector autoregression (VAR) with economic restrictions on the intercept, slope, and covariance matrix implied by the long-run risk model of Bansal

Catching Up and Convergence: Long-run Growth

by In East Asia, Frank S. T. Hsiao, Mei-chu W. Hsiao
"... The paper attempts to combine the traditional learning model with the recent theory of economic growth using Maddison’s long-run real GDP per capita data of the three fastest growing countries in East Asia: Korea, Taiwan, and Japan. The authors first explain games of catching-up among nations, and t ..."
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The paper attempts to combine the traditional learning model with the recent theory of economic growth using Maddison’s long-run real GDP per capita data of the three fastest growing countries in East Asia: Korea, Taiwan, and Japan. The authors first explain games of catching-up among nations

Asset Pricing with Left-Skewed Long-Run Risk

by Wei Yang - in Durable Consumption. SSRN eLibrary , 2010
"... Abstract I document that durable consumption growth is highly persistent and predicted by the price-dividend ratio. This provides strong and direct evidence for the existence of a highly persistent expected component. I also document robust evidence that durable consumption growth is left skewed an ..."
Abstract - Cited by 3 (0 self) - Add to MetaCart
, and the predictability of stock returns. The model also generates the volatility feedback effect and an upward sloping term structure of real bond yields.
Results 1 - 10 of 2,301