In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both...

This paper applies the dynamic panel quantile regression (DPQR) model under the autoregressive distributional lag (ARDL) specification, and examines the deficit–inflation relationship in 91 countries from 1960 to 2006. The DPQR model estimates the impact of deficits on inflation at various...

The standard approach to the estimation of schooling returns disregards earnings persistence. Using longitudinal data for Belgian male workers (ECHP, 1994–2001), we show that earnings persistence matters.