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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

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2021

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

Persistent link: https://www.econbiz.de/10013317662

Investigating Inflation Persistence Across Monetary Regimes

Benati, Luca - 2021

Under inflation targeting inflation exhibits negative serial correlation in the United Kingdom, and little or no persistence in Canada, Sweden and New Zealand, and estimates of the indexation parameter in hybrid New Keynesian Phillips curves are either equal to zero, or very low, in all...

Persistent link: https://www.econbiz.de/10013316644

Budgetary and External Imbalances Relationship : A Panel Data Diagnostic

Afonso, António; Rault, Christophe - 2021

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …

Persistent link: https://www.econbiz.de/10013316457

Long-Run Money Demand in the New EU Member States with Exchange Rate Effects

Dreger, Christian; Reimers, Hans-Eggert; Roffia, Barbara - 2021

analysis in the new Member States of the European Union (EU) is conducted using panel cointegration methods. A well …

Persistent link: https://www.econbiz.de/10013317611

Selecting Models with Judgment

Manganelli, Simone - 2021

A statistical decision rule incorporating judgment does not perform worse than a judgmental decision with a given probability. Under model misspecification, this probability is unknown. The best model is the least misspecified, as it is the one whose probability of underperforming the judgmental...

Persistent link: https://www.econbiz.de/10013315396

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2021

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10013316643

Testing for Differences in Survey-Based Density Expectations : A Compositional Data Approach

Dovern, Jonas; Glas, Alexander; Kenny, Geoff - 2023

We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...

Persistent link: https://www.econbiz.de/10014257125

A Cointegration Model of Money and Wealth

Assenmacher, Katrin - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012844181

Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3

Warne, Anders - 2021

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10013317369