This paper proposes an ℓ1 penalized quantile regression estimator which adapts the Hausman–Taylor instrumental variable approach in order to address the bias resulting from the shrinkage of the individual effects.

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are frequently used because fixed effects or differences are necessary to identify the parameters of interest. The inclusion of fixed effects or differencing of data, however,...

We explore the effect of cross-sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks. The analysis is performed on data collected daily from individual fuel stations in the Spanish metropolitan areas of Madrid and Barcelona....

Dynamic interactions among stock return, Research and Development (R&D) expenses, patent applications based on R&D investment, and the propensity to patent are studied in this work for a panel of firms from the United States. The panel includes technologically similar firms, neck-to-neck, mostly...

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The paper contributes to the literature on the convergence of financial systems in the euro area by estimating household credit demand in individual countries. Using the ARDL framework advocated notably by Pesaran et al. (1999), the paper provides evidence on the convergence of long run credit...

La publication par Martin Feldstein et Charles Horioka en 1980 d’un article liant la correlation entre les taux d’epargne et d’investissement d’un groupe de pays a son degre d’integration financiere n’a cesse de susciter debats et polemiques au sein de la communaute...

During the past two decades, innovations protected by patents have played a key role in business strategies. This fact enhanced studies of the determinants of patents and the impact of patents on innovation and competitive advantage. Sustaining competitive advantages is as important as creating...

This paper studies the dynamic interactions and the spillovers that exist among patent application intensity, secret innovation intensity and stock returns of a well-defined technological cluster of firms. We study the differential behavior when there is an Innovation Leader (IL) and the rest of...

Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...