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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Persistent link: https://www.econbiz.de/10011124891

Wage Rigidity, Institutions, and Inflation

Holden, Steinar; Wulfsberg, Fredrik - CESifo - 2009

A number of recent studies have documented extensive downward nominal wage rigidity (DNWR) for job stayers in many OECD countries. However, DNWR for individual workers may induce downward rigidity or “a floor” for the aggregate wage growth at positive or negative levels. Aggregate wage...

Persistent link: https://www.econbiz.de/10005094215

Sequential Estimation of Structural Models with a Fixed Point Constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - CESifo - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by …. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve … convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more …

Persistent link: https://www.econbiz.de/10005416516

Ranking of VaR and ES Models: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2012

perform significantly better in ES estimation. …

Persistent link: https://www.econbiz.de/10010586077

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

Persistent link: https://www.econbiz.de/10008572519

Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?

Drine, Imed; Rault, Christophe - CESifo - 2008

The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004) and generalized by Banerjee and Carrion-i-Silvestre (2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong...

Persistent link: https://www.econbiz.de/10005405826

Real Exchange Rates in Small Open OECD and Transition Economies: Comparing Apples with Oranges?

Egert, Balazs; Lommatzsch, Kirsten; Lahrèche-Révil, Amina - CESifo - 2007

We find that productivity gains in tradables cause an appreciation of the real exchange rate via both tradable and nontradable prices in the CEE-5 and have no affect in the Baltic countries, while they lead to a depreciation of the real exchange rate of tradables in OECD economies that...

Persistent link: https://www.econbiz.de/10005405897

Beyond the Salassa-Samuelson Effect in some New Member States of the European Union

García-Solanes, José; Sancho-Portero, Francisco I.; … - CESifo - 2007

This paper analyses the Balassa and Samuelson hypothesis in two groups of European countries: six New Member States (NMS) and six advanced EU-15 economies. It is found that the second stage of the hypothesis, which relates relative sector prices with the real exchange rate, does not hold...

Persistent link: https://www.econbiz.de/10005416475

A Non-linear Forecast Combination Procedure for Binary Outcomes

Lahiri, Kajal; Yang, Liu - CESifo - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10011155375

Direct Distribution of Rents and the Resource Curse in Iran: A Micro-econometric Analysis

Farzanegan, Mohammad Reza; Habibpour, Mohammad - CESifo - 2014

Our goal is to examine the income inequality and welfare effects of the direct distribution of resource rents and subsequent taxation in Iran. We use rich micro survey data covering more than 36,000 Iranian households in 2009. Our micro-simulations show that the direct distribution of resource...

Persistent link: https://www.econbiz.de/10010781552