This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the “Great Moderation”. It also proposes a new testing approach for panel …

work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …

variance of standarized individual wages. In particular, I propose a dynamic panel data model with individual effects both in …

, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the … estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not …

calibrated to the data used in the empirical analysis, drawn from the 1968-1993 Panel Study of Income Dynamics. The empirical …

different approaches, the panel data analysis and fuzzy logic, and to compare the results. To a panel with the crosssection …. Then, this traditional panel approach is contrasted with an alternative investigation based on fuzzy logic. The key …

calibrated to the data used in the empirical analysis, drawn from the 1968-1993 Panel Study of Income Dynamics. The empirical … the latter is driven by job mobility. The model also explains the non-normality observed in logwage data. -- Panel data …

volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …