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This paper employs recently developed non stationary panel methodologies that assume some cross-section dependence to estimate the production function for Italian regions in the industrial sector over the period 1970-1998. The analysis consists in three steps. First, unit root tests for...
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We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....
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called fractional multinomial logit model - which allows for joint estimation of shares while accounting for their fractional …
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Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for...
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Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit root tests and makes it possible for researchers testing individual series for a unit root while taking contemporaneous cross-sectional dependence into account. The proposed...
Persistent link: https://www.econbiz.de/10012764810
forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328
In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models with time trend. The first one is the fluctuation test of Ploberger-Kramer-Kontrus (1989). The second one is based on the mean and exponential Wald statistics of Andrew and...
Persistent link: https://www.econbiz.de/10013127220