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Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models
 Economics Letters
"... This paper extends the LSDV bias approximations in Bun and Kiviet (2003) to unbalanced panels. The approximations are obtained by modifying the within operator to accommodate the dynamic selection rule. They are accurate, with higher order terms bringing only decreasing improvements. This removes ..."
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Cited by 124 (2 self)
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This paper extends the LSDV bias approximations in Bun and Kiviet (2003) to unbalanced panels. The approximations are obtained by modifying the within operator to accommodate the dynamic selection rule. They are accurate, with higher order terms bringing only decreasing improvements. This removes an important cause for limited applicability of bias corrected LSDV estimators.
Asymmetric Price Adjustment and Consumer Search: An Examination of the Retail Gasoline Market
, 2004
"... It has been documented that retail gasoline prices respond more quickly to increases in wholesale price than to decreases. However, there is very little theoretical or empirical evidence identifying the market characteristics responsible for this behavior. This paper presents a new theoretical model ..."
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Cited by 49 (3 self)
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It has been documented that retail gasoline prices respond more quickly to increases in wholesale price than to decreases. However, there is very little theoretical or empirical evidence identifying the market characteristics responsible for this behavior. This paper presents a new theoretical model of asymmetric adjustment that empirically matches observed retail gasoline price behavior better than previously suggested explanations. I develop a “reference price” consumer search model that assumes consumers’ expectations of prices are based on prices observed during previous purchases. The model predicts that consumers search less when prices are falling. This reduced search results in higher profit margins and a slower price response to cost changes than when margins are low and prices are increasing. Following the predictions of the theory, I use a panel of gas station prices to estimate the response pattern of prices to a change in costs. Unlike previous empirical studies I focus on how profit margins (in addition to the direction of the cost change) affect the speed of price response. Estimates are consistent with the predictions of the reference price search model, and appear to contradict previously suggested explanations of asymmetric adjustment.
Testing vector error autocorrelation and hetereroskedasticity. http://www.nuff.ox.ac.uk/Users/Doornik/papers/vectest.pdf
, 1996
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The Equilibrium Rate of Unemployment in the Netherlands * by
"... We are grateful for helpful comments of two anonous referees, F. den Butter, R. Douven, A. Lammertsma, Th.van de Klundert, S. Kuipers, R. Okker and E. Sterken and for the statistical assistance of P. de Jongh. ..."
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Cited by 2 (0 self)
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We are grateful for helpful comments of two anonous referees, F. den Butter, R. Douven, A. Lammertsma, Th.van de Klundert, S. Kuipers, R. Okker and E. Sterken and for the statistical assistance of P. de Jongh.
The Size and Power of Bootstrap Tests
"... Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than that of ..."
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Cited by 2 (1 self)
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Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We show that, in many circumstances, the size distortion of a bootstrap P value for a test will be one whole order of magnitude smaller than that of the corresponding asymptotic P value. We also show that, at least in the parametric case, the magnitude of the distortion will depend on the shape of what we call the P value function. As regards the power of bootstrap tests, we show that the sizecorrected power of a bootstrap test differs from that of the corresponding asymptotic test only by an amount of the same order of magnitude as the size distortion, and of arbitrary sign. Monte Carlo results are presented for two cases of interest: tests for serial correlation and nonnested hypothesis tests. These results confirm and illustrate the utility of our theoretical results, and they also suggest that bootstrap tests will often work extre...
Gretl manual: Gnu regression, econometrics and timeseries library. WinstonSalem, NC
, 2004
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A Window on Econometrics
 Cyprus Journal of Economics
, 1996
"... The paper illustrates how econometricians practice their subject, using primarily graphical tools. It is based on software which exploits the Windows operating system to show data, results, reports, and graphics simultaneously on screen, and seeks to capture the interactions which were used in the a ..."
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Cited by 1 (1 self)
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The paper illustrates how econometricians practice their subject, using primarily graphical tools. It is based on software which exploits the Windows operating system to show data, results, reports, and graphics simultaneously on screen, and seeks to capture the interactions which were used in the associated lecture to highlight the learning process involved in econometric modelling. The substantive application is a model of the UK inflation process over the past century, which finds an important role for excess demand for goods and services, with additional pressures from excess money, national debt, and deviations from purchasing power parity. 1 Introduction The title of the talk is a deliberate pun on the use of the Windows TM operating system capabilities to throw light on how econometricians practice their subject: the objective is to demonstrate how much can be achieved by a set of primarily graphical tools. In the background is the aim to help `executives' at their desk under...
Trends in the Shares of Top Wealth Holders in Britain, 19231981”, Oxford Bulletin of Economics and Statistics, vol 51(3): 315332 Atkinson, A B and Harrison A
 Distribution of Personal Wealth in Britain
, 1989
"... This paper reexamines earlier work by Atkinson and Harrison (1978, 1979), which presented a consistent series of estatebased estimates of the distribution of wealth in England and Wales for the years 1923 to 1972, ' and conducted an econometric analysis of the trends over time in the share of ..."
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Cited by 1 (1 self)
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This paper reexamines earlier work by Atkinson and Harrison (1978, 1979), which presented a consistent series of estatebased estimates of the distribution of wealth in England and Wales for the years 1923 to 1972, ' and conducted an econometric analysis of the trends over time in the share of the
GaussNewton, MillikenGraybill, and Exact Misspecification Testing Using Artificial Regressions
, 1998
"... The GaussNewton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the MillikenGraybill regression is a GNR. ..."
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The GaussNewton regression (GNR) is widely used to compute Lagrange multiplier statistics. A regression described by Milliken and Graybill yields an exact F test in a certain class of nonlinear models which are linear under the null. This paper shows that the MillikenGraybill regression is a GNR. Hence one interpretation of MillikenGraybill is that they identified a class of nonlinear models for which the GNR yields an exact test. 1 1