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A Functional Coefficient Model View of the Feldstein-Horioka Puzzle
Herwartz, Helmut - 2009
of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new …
Persistent link: https://www.econbiz.de/10013159487
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Grouped heterogeneity in linear panel data models with heterogeneous error variances
Aguilar, Jhordano; Boot, Tom - 2022
We develop a procedure to identify latent group structures in linear panel data models that exploits a grouping in the …
Persistent link: https://www.econbiz.de/10013301980
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How reliable are cointegration-based estimates for wealth effects on consumption? : evidence from Switzerland
Galli, Alain - 2016
Persistent link: https://www.econbiz.de/10011456230
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How reliable are cointegration-based estimates for wealth effects on consumption? : Evidence from Switzerland
Galli, Alain - In: Swiss journal of economics and statistics 153 (2017) 4, pp. 437-479
Persistent link: https://www.econbiz.de/10011845257
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Testing the Permanent Income Hypothesis Using Unit Root Quantile Autoregression Tests
Gomes, Fabio Augusto Reis - 2010
In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...
Persistent link: https://www.econbiz.de/10013136961
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Diversification with Idiosyncratic Credit Spreads : A Pooled Estimation on Heterogeneous Panels
LIn, William T.; Sun, David S. - 2010
Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate the risk diversification issue of individual corporate bonds in portfolios. This is one of the few studies on the decomposition of individual corporate yield spreads....
Persistent link: https://www.econbiz.de/10014198732
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A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function
Behr, Andreas - 2003
In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their …
Persistent link: https://www.econbiz.de/10011431996
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Estimating ordered categorical variables using panel data : a generalized ordered probit model with an autofit procedure
Pfarr, Christian; Schmid, Andreas; Schneider, Udo - 2010
Estimation procedures for ordered categories usually assume that the estimated coefficients of independent variables do not vary between the categories (parallel-lines assumption). This view neglects possible heterogeneous effects of some explaining factors. This paper describes the use of an...
Persistent link: https://www.econbiz.de/10011524774
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A quantile correlated random coefficients panel data model
Graham, Bryan S.; Hahn, Jinyong; Poirier, Alexandre; … - 2016
We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data …; Section 2.6). We show that panel data allows the econometrician to (i) introduce dependence between the regressors and the … (NLSY79). Consistent with prior work (e.g., Chamberlain, 1982; Vella and Verbeek, 1998), we find that using panel data to …
Persistent link: https://www.econbiz.de/10011524832
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Estimation of effects of recent macroprudential policies in a sample of advanced open economies
Nymoen, Ragnar; Pedersen, Kari; Sjåberg, Jon Ivar - In: International Journal of Financial Studies : open … 7 (2019) 2/23, pp. 1-20
We used a time-series cross-section dataset to test several hypotheses pertaining to the role of macroprudential policy instruments in the management of the financial cycle in advanced open economies. The short-run effects are most significant for caps on loan to value and income (LTV and LTI)...
Persistent link: https://www.econbiz.de/10012039586