Similar Search Results

Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors

Kripfganz, Sebastian - 2015

We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors...

Persistent link: https://www.econbiz.de/10013016951

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

Pesaran, M. Hashem - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10013143880

Banking, Debt and Currency Crises : Early Warning Indicators for Developed Countries

Babecký, Jan - 2012

economies. Using panel vector autoregression, we confirm that currency and debt crises are typically preceded by banking crises …

Persistent link: https://www.econbiz.de/10013099231

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Chudik, Alexander - 2009

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

Persistent link: https://www.econbiz.de/10013155822

Analysing and Forecasting Price Dynamics Across Euro Area Countries and Sectors : A Panel VAR Approach

Dées, Stéphane - 2014

This paper uses a panel VAR (PVAR) approach to estimating, analysing, and forecasting price dynamics in four different …

Persistent link: https://www.econbiz.de/10013049274

The Perils of Aggregating Foreign Variables in Panel Data Models

Ca'Zorzi, Michele - 2015

contributions in the context of static panel data models. The first is to show under what conditions the aggregation of foreign …

Persistent link: https://www.econbiz.de/10013036825

Responses to Monetary Policy Shocks in the East and West of Europe : A Comparison

Jarocinski, Marek - 2009

This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...

Persistent link: https://www.econbiz.de/10012765781

A Panel VAR Analysis of Macro-Financial Imbalances in the EU

Comunale, Mariarosaria - 2017

financial (or output) gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over …

Persistent link: https://www.econbiz.de/10012961964

Dynamic Nonparametric Clustering of Multivariate Panel Data

João, Igor Custodio; Lucas, André; Schwaab, Bernd; … - 2023

We introduce a new dynamic clustering method for multivariate panel data char-acterized by time-variation in cluster … current center of their previous cluster as-signment. This links consecutive cross-sections in the panel together … settings. The method is illustrated using a multivariate panel of four accounting ratios for 28 large European insurance firms …

Persistent link: https://www.econbiz.de/10014257567

Explaining the Money Demand of Non-Financial Corporations in the Euro Area : A Macro and a Micro View

Martinez-Carrascal, Carmen - 2010

This paper analyses euro area non-financial corporations (NFC) money demand, both from a macro and a microeconomic point of view. At a macro level, money holdings are modelled as a function of real gross added value, the price level, the long-term interest rate on bank lending to non-financial...

Persistent link: https://www.econbiz.de/10013137587