This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent (CD), using the exponent of cross-sectional dependence introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

We develop a novel methodology to quantify forecasts based on qualitative survey data. The methodology is generally applicable when quantitative information is available on the realization of the forecasted variable, for example from firm balance sheets. The method can be applied to a wide range...

This paper explores the evolution of non-working time in Spain over recent years by analysing the results of two surveys conducted by the National Statistics Institute: the Quarterly Survey on Labor Costs and the Labor Force Survey. Using time series models and intervention analysis, potential...

We use a repeated large-scale survey of households in the Nielsen Homescan panel to characterize how labor markets are being affected by the covid-19 pandemic. We document several facts. First, job loss has been significantly larger than implied by new unemployment claims: we estimate 20 million...

Are natural resources a "curse" or a "blessing"? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource...

This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the finite sample properties of the pre-test estimators introduced in...

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...

This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...