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Forecasting with Dynamic Panel Data Models

Liu, Laura - 2018

panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …

Persistent link: https://www.econbiz.de/10012480753

Multivariate Fractional Regression Estimation of Econometric Share Models

Mullahy, John - 2010

proposed by Papke and Wooldridge, 1996, 2008, in univariate cross-sectional and panel contexts. The paper discusses the … econometric strategies for share model estimation. The paper then goes on to discuss the univariate fractional regression … estimation strategies proposed by Papke and Wooldridge and to extend the fractional regression approach to estimation of and …

Persistent link: https://www.econbiz.de/10012462302

Attrition Bias in Economic Relationships Estimated with Matched CPS Files

Neumark, David - 2001

Short panel data sets constructed by matching individuals across monthly files of the Current Population Survey (CPS …

Persistent link: https://www.econbiz.de/10012470052

The Phillips Curve is Back? Using Panel Data to Analyze the Relationship Between Unemployment and Inflation in an Open Economy

DiNardo, John - 1999

panel data to estimate the textbook 'expectations augmented' Phillips curve with a market-based and observable measure of …

Persistent link: https://www.econbiz.de/10012471456

Environmental Regulation and Innovation : A Panel Data Study

Jaffe, Adam B. - 1996

examine the stylized facts regarding environmental expenditures and innovation in a panel of manufacturing industries. We find …

Persistent link: https://www.econbiz.de/10012473311

Investment, Finacial Factors and Cash Flow : Evidence From UK Panel Data

Devereux, Michael - 1989

In this paper we provide some econometric evidence on the impact of financial factors like cash flow, debt and stock measures of liquidity on the investment decisions of U. K. firms. These variables are introduced via an extension of the Q model of investment which explicitly includes...

Persistent link: https://www.econbiz.de/10012475929

Multiple Time-Serie3 Models Applied to Panel Data

MaCurdy, Thomas E. - 1981

This study presents a general methodology for fitting multiple time series models to panel data. The basic statistical … panel data, and it identifies those instances in which procedures found in the time series literature cannot be directly … applied to analyze longitudinal data. Data analysis techniques in the tine series literature are adapted for panel data …

Persistent link: https://www.econbiz.de/10012478475

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions …

Persistent link: https://www.econbiz.de/10012467213

Asymmetric Cycles

Jovanovic, Boyan - 2004

I estimate a model in which new technology entails random adjustment costs. Rapid adjustments may cause productivity slowdowns. These slowdowns last longer when retooling is costly. The model explains why growth-rate disasters are more likely than miracles, and why volatility of growth relates...

Persistent link: https://www.econbiz.de/10012468120

Shock Elasticities and Impulse Responses

Borovička, Jaroslav - 2014

We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure the contributions to the price and to the expected...

Persistent link: https://www.econbiz.de/10012458560