panel data
A stochastic discount factor approach to asset pricing using panel data asymptotics
... Our approach is related to research done in three di¤erent …elds. From econometrics, it is related to the common-features literature after Engle and Kozicki (1993). Indeed, we attempt to bridge the gap between a large ...
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A estrutura de capital das maiores empresas brasileiras: análise empírica usando Panel Data
... Theories about capital structure suggest several variables that might determinate financing decisions. In general, the studies use cross-section or time series analysis to test these determinants. This study aimed to ...
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Consumption-wealth ratio and expected stock returns: evidence from panel data
... quarterly data from 1981 to 2014, we set a panel for G7’s countries and, af- ter testing the cointegrating relationship between consumption, asset wealth and labor income, we estimate cay with a ...our ...
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Visegrad Four Countries – Case Study of Econometric Panel Data Model for Regional Competitiveness Evaluation
... petitiveness seems to be legitimate especially because of the fact that European Commission ac- cents the level of regional units from aims of economic and social cohesion view and realization of structural aid in the EU ...
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A panel data approach to economic forecasting: the bias-corrected average forecast
... expectation of the series being forecast. Indeed, the latter is the common feature of all individual forecasts (Engle and Kozicki (1993)), while individ- ual forecasts deviate from the optimal because of forecast ...
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A panel data approach to economic forecasting: the bias-corrected average forecast
... a panel-data ...a panel-data framework can we formally state a weak law-of-large-numbers for forecast combinations and take full advantage of asymptotic results in both N and T ...of ...
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A stochastic discount factor approach to asset pricing using panel data
... We derive a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio that takes seriously the consequences of the Pricing Equation established by Har- rison and Kreps (1979), Hansen and ...
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Immigration and Trade in Portugal: A Static and Dynamic Panel Data Analysis
... dynamic panel data analysis, the results show that the stock of immigrants has a positive effect on Portuguese exports, imports and bilateral intra-industry ...
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Determinants of Oil Demand in OECD Countries: An Application of Panel Data Model
... In regard to oil demand, most studies apply time series analyses, while only few studies employ panel data models. As such, there are a number of time series studies based on an individual country or a ...
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Public Debt and Economic Growth: a Granger Causality Panel Data Approach
... a panel data approach (following Wooldridge, 2002), we may compare the obtained values for the overall R-squared, the R-squared “between” and the R-squared ...
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Does political instability lead to higher and more volatile inflation?: A panel data analysis
... aaisen@imf.org; Francisco José Veiga, Universidade do Mihno – NIPE: fjveiga@gmail.com. Dozvola za prevod i objavljivanje: 20.10.2006. Autori žele da se zahvale Karlosu Vegu (Karlos Végh) i Henriju Čepelu (Henry Chappell) ...
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Non-linearities in Fiscal Multipliers in EU15: A Panel Data Threshold Model
... Nonetheless, our work is somehow different because it looks at the global EU15 and uses a panel data threshold model to reinforce that idea. This type of models was first introduced by Hansen (1999, 2000) ...
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A panel data approach to economic forecasting: the bias-corrected average forecast
... Regardless of how one combines forecasts, if the series being forecast is stationary and ergodic, and there is enough diversi…cation among fore- casts, we should expect that a weak law-of-large-numbers (WLLN) applies to ...
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Unit root tests for panel data : a survey and an application
... spurious panel regression using a fixed-effects model to estimate panel regression when the dependent and independent variables are I ( ) 1 ...for panel data; Dickey-Fulley (DF) and the ...
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Growth and exchange rate volatility: a panel data analysis
... a panel data set ranging from 1970 to ...GMM panel growth models show that a more (less) volatile RER has significant negative (positive) impact on economic growth and the results are robust for ...
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Budgetary and External Imbalances Relationship : a Panel Data Diagnostic
... a panel framework depends largely on how well the underlying assumptions of those methods reflect the properties of the data under ...if data are stationary the conventional panel data ...
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Misspecification effects in the analysis of panel data
... of panel data may be misleading if the initial sample was clustered and if this clustering is ignored in the analysis, more strongly so in situations where descriptive statistics (such as means) are being ...
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Overeducation, undereducation and labor earnings in Brazil: a panel data analysis
... The sample used in this study is limited to individuals who entered the survey between January 2004 and December 2012, aged 25 to 60 years at the time of their first PME interview. The sample is also restricted to those ...
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Likelihood inference and the role of initial conditions for the dynamic panel data model
... unobserved data is very skewed with some mass at zero values. For example, panel data on firms naturally depend on the first period in which the firm enters on a new ...unobserved data is ...
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Unit root tests for panel data: a survey and an application
... the panel data comes from the already known effect that the presence of unit roots in time series may cause a misinterpretation of estimated ...the data set used in those tests, thus improving their ...
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