This paper extends the Baltagi et al. (2018, 2021) static and dynamic ?-contamination papers to dynamic space-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the...

This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered,...

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian approach departs from the standard Bayesian framework in...

Management of financial risks and sound decision making rely on the accurate information and predictive models. Drawing useful information efficiently from big data with complex structures and building accurate models are therefore crucial tasks. Most commonly used methods for statistical...

Within the framework of dynamic panel data models with mean stationarity, one additional moment condition may remarkably increase the efficiency of the system GMM estimator. This additional condition is essentially a condition of “homoskesdasticity” of the individual effects; it is...

We investigate whether TV watching at ages 6-7 and 8-9 affects cognitive development measured by math and reading scores at ages 8-9 using a rich childhood longitudinal sample from SY79. Dynamic panel data models are estimated to handle the unobserved child-specific factor, endogeneity of TV...

This paper provides panel data evidence on trade liberalization and wage inequality in Bangladesh. Using several standard econometric models, wage equations for skilled and unskilled workers in the formal manufacturing sector are estimated for the 1975-2002 period. The results, particularly the...

This paper presents estimates of the competitive effects of trade liberalization on domestic pricing behaviour of Tunisian manufacturing industries. The theoretical framework is based on a dynamic flexible adjustment model of price determination in a small open economy. It investigates the...

Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet’s bias-corrected LSDV and GMM estimators all perform well in both short and long panels....