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Pesaran, M. Hashem - 2015

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013038262

Lost in Translation : What Do Engel Curves Tell Us About the Cost of Living?

Almås, Ingvild - 2018

The Hamilton method for estimating CPI bias is simple, intuitive, and has been widely adopted. We show that the method … confiates CPI bias with variation in cost-of-living across income levels. Assuming a single price index across the income … implement the Translated Engel curve (TEC) method that disentangles genuine CPI bias from differences caused by comparing …

Persistent link: https://www.econbiz.de/10012922658

Pro-poor Price Trends and Inequality - The Case of India

Almås, Ingvild - 2016

It is well known that people's consumption patterns change with income. Relative price changes therefore affect rich and poor consumers differently. Yet, the standard price indices are not income-specific and hence, the use of these mask these differences in cost-of-living. In this paper, we...

Persistent link: https://www.econbiz.de/10012997169

International Income Inequality : Measuring PPP Bias by Estimating Engel Curves for Food

Almås, Ingvild - 2010

Purchasing power adjusted incomes applied in cross-country comparisons are measured with bias. In this paper, we … estimate the purchasing power parity (PPP) bias in Penn World Table incomes and provide corrected incomes. The bias is … bias and the bias in consumer price index (CPI) numbers. The PPP bias and subsequent corrected incomes are measured by …

Persistent link: https://www.econbiz.de/10013135914

Estimating VAT Pass Through

Benedek, Dora - 2015

evidence of lagged effects in the two years around reform. The results are robust against endogeneity and attenuation bias …

Persistent link: https://www.econbiz.de/10013013095

The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis

Ben Cheikh, Nidhaleddine - 2015

This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...

Persistent link: https://www.econbiz.de/10013012532

Panel Regression with Random Noise

Ronning, Gerd - 2009

fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct …

Persistent link: https://www.econbiz.de/10012763988

Aggregation in Large Dynamic Panels

Pesaran, Hashem M.; Chudik, Alexander - CESifo - 2011

Persistent link: https://www.econbiz.de/10008853858

On Identification of Bayesian DSGE Models

Koop, Gary - 2011

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...

Persistent link: https://www.econbiz.de/10013126000

A Non-Linear Forecast Combination Procedure for Binary Outcomes

Lahiri, Kajal - 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/10013028905