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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
, 1997
"... We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed ..."
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Cited by 529 (13 self)
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We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun 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
 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 ..."
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Cited by 312 (22 self)
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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 longrun average covariance matrix. In the case of homogeneous and near homogeneous cointegrating panels, a
Cointegration Vector Estimation by Panel DOLS and LongRun Money Demand
 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 individualspecific time trends, individualspecific fixed effects and times ..."
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Cited by 92 (0 self)
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panel DOLS to estimate coefficients of the longrun 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 semielasticity is)0.02 (asymptotic s.e. 0
General Diagnostic Tests for Cross Section Dependence
 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 pairwise correlation coefficients of the OL ..."
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Cited by 247 (20 self)
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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 longrun user cost elasticity
 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 ..."
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Cited by 22 (3 self)
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, open economy and appropriate correction for small sample bias yields an estimate of the longrun 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
, 1998
"... Criminologists are ofren interested in examining interactive effects within a regression context. For example, “holding other relevant factors 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 ..."
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Cited by 178 (4 self)
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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
Longrun rising supply price and the numéraire
 Metroeconomica
, 2008
"... When a set of industries is kept in longrun 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 longrun supply curve ..."
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Cited by 2 (2 self)
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When a set of industries is kept in longrun 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 longrun supply
Implications of LongRun Risk for Asset Allocation Decisions
, 2012
"... This paper proposes a structural approach to longhorizon 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 longrun risk model of Bansal and Y ..."
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This paper proposes a structural approach to longhorizon 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 longrun risk model of Bansal
Catching Up and Convergence: Longrun Growth
"... The paper attempts to combine the traditional learning model with the recent theory of economic growth using Maddison’s longrun real GDP per capita data of the three fastest growing countries in East Asia: Korea, Taiwan, and Japan. The authors first explain games of catchingup 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 longrun real GDP per capita data of the three fastest growing countries in East Asia: Korea, Taiwan, and Japan. The authors first explain games of catchingup among nations
Asset Pricing with LeftSkewed LongRun Risk
 in Durable Consumption. SSRN eLibrary
, 2010
"... Abstract I document that durable consumption growth is highly persistent and predicted by the pricedividend 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 ..."
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Cited by 3 (0 self)
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, 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