Showing 1 - 10 of 124
The political economy of resource rich countries is surveyed. The empirical evidence suggests that countries with a large share of primary exports in GNP have bad growth records and high inequality, especially if the quality of institutions and the rule of law are bad. The economic argument that...
Persistent link: https://www.econbiz.de/10005661592
and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of …
Persistent link: https://www.econbiz.de/10005791800
We provide practical advice for applied economists regarding specification and interpretation of linear regression models with interaction terms.
Persistent link: https://www.econbiz.de/10008554222
Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...
Persistent link: https://www.econbiz.de/10008466351
In 1998 Hungary embarked on a course of comprehensive pension reform. The reforms are likely to change the distribution of incomes of future generations. The purpose of this paper is two-fold. From a policy point of view, we analyse poverty and income inequality among pensioners in Hungary...
Persistent link: https://www.econbiz.de/10005791337
Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting an accurate copula for risk management. We extend...
Persistent link: https://www.econbiz.de/10005792215
improving the identification and estimation strategy. Using the German Socio-Economic Panel (1984-2001) we estimate the impact …
Persistent link: https://www.econbiz.de/10005498136
We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...
Persistent link: https://www.econbiz.de/10004973965
power of the indirect inference test is by far the greater, necessitating re-estimation to ensure that the model is tested … in its fullest sense. We also find that the small-sample bias with indirect estimation is around half of that with … maximum likelihood estimation. …
Persistent link: https://www.econbiz.de/10011165662
We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.
Persistent link: https://www.econbiz.de/10011083255