This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed initial conditions problem, as well as the...

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...

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the...

Oaxaca and Ransom (1999) show that a detailed decomposition of the coefficients effect is destined to suffer from an identification problem since the detailed coefficients effect attributed to a dummy variable is not invariant to the choice of reference groups. It turns out that the...

We propose a simple methodology for decomposing differences in the first moment into characteristics and coefficients effects. This methodology provides a way to apply the Blinder-Oaxaca decomposition to a non-linear function for both aggregate and detailed decompositions.

In the empirical literature on labour supply, several static models are developed to incorporate constraints on working hours. These models do not address to what extent working hours are constrained within jobs, and to what extent working hours can be adjusted by means of changing employer. The...

In this paper, the role of the computer at the workplace will be examined in determining the wage structure in Germany. Following Krueger (1993) and using the German Socio- Economic Panel (GSOEP), cross-sectional wage regression results from 1997 and panel results from 1984-1997 are presented....

In this paper, the inter-industry wage structure in West Germany and USA is compared using the German Socio-Economic Panel (GSOEP), the German Mikrozensus (MZ), the American Panel Study of Income Dynamics (PSID) and the American Current Population Survey (CPS) from 1984 to 1996. Using a sample...