We extend the repeated observations forecasting ROF analysis of Croushore and Stark 2002 to allow for regressors of possibly higher sampling frequencies than the regressand. For the U.S. GNP quarterly growth rate, we compare the forecasting performances of an AR model with several...

This paper considers estimation of factor-augmented panel data regression models with homogenous slope coefficients. One of the most popular approaches towards this end is the pooled common correlated effects CCE estimator of Pesaran 2006. For this estimator to be consistent at the usual sqrt-NT...

In this paper, we demonstrate that cultural borders in international finance resurge during financial crises. To investigate the role of cultural borders during both tranquil and crisis periods, we employ a unique data set that focuses on Eurozone cross-border depositing in a gravity-model...

This paper proposes a Bayesian approach to estimate a factor augmented productivity equation. We exploit the panel dimension of our data and distinguish individual-specific and time-specific factors. On the basis of 21 technology, infrastructure and institution indicators from 82 countries over...

This thesis considers a dynamic panel data model with error components that are correlated both spatially (cross-sectionally) and time-wise. The model extends the literature on dynamic panel data models with cross-sectionally independent error components. The model for spatial dependence is a...

This paper aims to analyze the source of territorial disparities in Peruvian family’s expenditures for period 1998-2003 using a microeconomic approach. Generally speaking, the objective is to clarify the causes and differences in per inhabitant- familiar expenditures, studying the families...

This paper introduces dynamics in the RD to innovation and innovation to productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

This study aims at providing an empirical analysis of long-term determinants of sovereign debt yield spreads under European EMU (Economic and Monetary Union) through pairwise approach within panel framework. Panel gravity models are increasingly used in the cross-market correlation literature...