In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a...

This paper revisits the competition-innovation relationship using an unbalanced panel of enterprise data stemming from four waves of the Luxembourgish innovation survey for the period 2002-2010. We estimate by full-information maximum likelihood a nonlinear dynamic simultaneous-equations model...

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 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...