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New evidence of the impact of capital account liberalization on economic growth
Santana, José Ricardo; Garcia, Fernando - Econometric Society - 2004
This article analyzes the effects of financial liberalization on economic growth, focusing mainly the empirical aspects of this line of research. The text aims to answer fundamental questions put forward by recent literature: What effects has capital account liberalization had on economic...
Persistent link: https://www.econbiz.de/10005170254
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Stochastic Frontier Models With Correlated Error Components
Smith, Murray D - Econometric Society - 2004
In the productivity modelling literature, the disturbances U (representing technical inefficiency) and V (representing noise) of the composite error W=V-U of the stochastic frontier model are assumed to be independent random variables. By employing the copula approach to statistical modelling,...
Persistent link: https://www.econbiz.de/10005702594
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A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
Franses, P.H.; Fok, D.; Dijk, D. van - Econometric Society - 2004
Macroeconomic time series are often obtained as an aggregate across regions or economic sectors. Even when the ultimate goal is to forecast the aggregate series it may be beneficial to consider the underlying disaggregate series. This especially holds when the disaggregate series are generated...
Persistent link: https://www.econbiz.de/10005130166
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Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
SIN, Chor-yiu - Econometric Society - 2004
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …
Persistent link: https://www.econbiz.de/10005063680
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Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
SIN, Chor-yiu - Econometric Society - 2004
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …
Persistent link: https://www.econbiz.de/10005063718
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An Alternative Estimation of Spurious Regression Model
Rahman, Shahidur - Econometric Society - 2004
the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …
Persistent link: https://www.econbiz.de/10005342144
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Cointegration versus Spurious Regression in Heterogeneous Panels
Urga, Giovanni; Trapani, Lorenzo - Econometric Society - 2004
cointegration to hold in the aggregate relationship. We also develop an estimation and testing framework to verify whether the … condition is met. Secondly, we analyze the case when cointegration doesn't carry through the aggregation process, investigating … derive the asymptotic measure of the degree of non cointegration of the aggregated estimate and we provide estimation and …
Persistent link: https://www.econbiz.de/10005702609
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Are New Keynesian Phillips Curves Identified ?
Kichian, Maral; Dufour, Jean-Marie; Khalaf, Lynda - Econometric Society - 2004
In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...
Persistent link: https://www.econbiz.de/10005063699
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Evaluating the Magnitude of Financial Market Frictions: Evidence from Firm-Level Data
Levin, Andrew; Natalucci, Fabio - Econometric Society - 2004
We investigate the extent to which firm-level data are consistent with the microeconomic foundations of the benchmark financial accelerator model of Bernanke, Gertler, and Gilchrist (1999). To that purpose, we construct a new dataset that directly links firm-specific balance sheet variables to...
Persistent link: https://www.econbiz.de/10005702619
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How to Depart Earlier From a Recession?
Choi, Se Kyu; Larraín, Felipe - Econometric Society - 2004
Empirical studies of economic growth across countries are abundant and rich in conclusions, some of them widely accepted. This is not the case, however, with the empirics of business cycles. Particularly, there exists little evidence explaining why some countries take more time than others...
Persistent link: https://www.econbiz.de/10005129795