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The iterative least squares method for estimating panel models with unobservable factor structure is extended to cover the case where the number of factors is unknown a priori. The proposed estimation algorithm optimizes a penalized least squares objective function to estimate the factor...
Persistent link: https://www.econbiz.de/10010776985
We use a panel cointegration model with multiple time- varying individual effects to control for the missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate the...
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A notion of ''behavioral heterogeneity'' of a finite population of households is modelled. It is shown that the higher the degree of behavioral heterogeneity the less sensitive depends the aggregate consumption expenditure ratio upon prices.As a consequence, behavioral heterogeneity implies a...
Persistent link: https://www.econbiz.de/10004968150
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The following question is analyzed: under what circumstances can one a stable (i.e., time invariant) functional relationship which links aggregate consumption in period t with aggregate income in period t and another "determinants" of consumtion that refer to periods prior to period t and can be...
Persistent link: https://www.econbiz.de/10004968192
The paper is about the economic modelling of aggregate consumption expenditure with particular emphasis on the distribution effects of income. Under certain assumptions on the evolution over time of the population of households ("structural stability") we shall derive a first order approximation...
Persistent link: https://www.econbiz.de/10004968194