I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af … necessary to acquire identification. Specifically, we show that a regression spline of consumption on income and assets yields a …

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random … where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …

We estimate models of consumption growth that allow for long-run risks and disasters using data for a series of … mean-reverting rate best fits international consumption data. The implied posterior disaster intensity in such a model … predicts equity returns without compromising the unpredictability of consumption growth. It also generates time-varying excess …

This paper investigates the household consumption behavior in Russia. The model assumes that household consumption can … be described by both the Euler equation and the rule-of-thumb. Using panel data on households (Russian Longitudinal …

We consider instrumental variables estimation of a possibly infinite order dynamic panel autoregressive (AR) process … with individual effects. The estimation is based on the sieve AR approximation with its lag order increasing with sample …

of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new …, the age dependency ratio, government current and consumption expenditures are found to affect the SI relation …

Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as … presented. An illustration for systems of linear, quadratic and cubic Engel functions, with household consumption and income …

This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for … the techniques to two empirical studies. First, the new method is applied to the estimation of labor supply elasticities …