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Baltagi, Badi H. - 2013

Persistent link: https://www.econbiz.de/10011507037

Baltagi, Badi H. - 2013

This chapter reviews the panel data forecasting literature. Starting with simple forecasts based on fixed and random … well as spatial autoregressive and moving average type disturbances. These forecasting methods are then studied in the … context of seemingly unrelated regressions. We highlight several forecasting empirical applications using panel data, as well …

Persistent link: https://www.econbiz.de/10014025230

Revisiting the great ratios hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in economics as conditions for balanced growth,...

Persistent link: https://www.econbiz.de/10013041372

On the stationarity of per capita carbon dioxide emissions over a century

Christidou, Maria; Panagiōtidēs, Theodōros; Sharma, … - 2013

This paper examines the stationarity of carbon dioxide (CO2) emissions per capita for a set of 36 countries covering the period 1870-2006. We employ recently developed unit root and stationarity tests that allow for the mean reverting process to be nonlinear and take into account cross sectional...

Persistent link: https://www.econbiz.de/10009791590

Do households anchor their inflation expectations? : theory and evidence from a household survey

Easaw, Joshy Z.; Golinelli, Roberto; Malgarini, Marco - 2012

The purpose of the present paper is to study how households form inflation expectations. Using a novel survey-base dataset of Italian households' opinions of inflation we investigate two separate, but related, types of behavior: 'inattentiveness' and 'anchoring'. The present analysis extends the...

Persistent link: https://www.econbiz.de/10011734165

Stein-like common correlated effects estimation under structural breaks

Parsaeian, Shahnaz - In: Econometrics : open access journal 12 (2024) 2, pp. 1-23

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common correlated effects (CCE) estimation technique, we...

Persistent link: https://www.econbiz.de/10014636414

U.S. metropolitan house price dynamics

Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017

Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...

Persistent link: https://www.econbiz.de/10011875693

Large panel data models with cross-sectional dependence : a survey

Chudik, Alexander; Pesaran, M. Hashem - 2013

This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...

Persistent link: https://www.econbiz.de/10009786037

Continuous-time modelling with spatial dependence

Oud, Johannes H. L.; Folmer, Henk; Patuelli, Roberto; … - 2011

Persistent link: https://www.econbiz.de/10009720763

The predictive power of equilibrium exchange rate models

Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …

Persistent link: https://www.econbiz.de/10012139745