Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, EarlyView.ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte +4 more
wiley +1 more source
Sustainability of Latin American Fiscal Deficits: A Panel Data Approach [PDF]
This paper evaluates the fiscal sustainability hypothesis for eight Latin Americancountries for the period 1960 - 2009: Argentina, Chile, Colombia, Ecuador, Panama, Peru, Paraguayand Uruguay.
Jacobo Campo Robledo +1 more
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Learning in the Limit: Income Inference from Credit Extensions
The Journal of Finance, EarlyView.ABSTRACT Combining a randomized controlled trial with administrative and survey data, this paper shows that credit limit extensions significantly increase total spending and income expectations. By controlling for changes in personal income expectations, the spending response to credit limit extensions weakens by approximately 30%.
XIAO YIN
wiley +1 more source
Money Demand and Disinflation in Selected CEECs during the Accession to the EU [PDF]
A panel data set for six countries (Czech Republic, Hungary, Poland, Romania, Slovakia, and Slovenia) is used to estimate money demand with panel cointegration methods over the recent disinflation period.
Fidrmuc, Jarko
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Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Efficiency measurement with nonstationary variables: an application of panel cointegration techniques [PDF]
In this paper, we apply panel cointegration tests and estimation techniques to obtain efficiency measures when it is uncertain whether the underlying technological relationship is structural or spurious due to possible non-stationarity of the data.
Dimitris Christopoulos +1 more
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What Are The Drivers of Labor Productivity in Italy?
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper introduces a novel sign restriction identification within a structural Bayesian vector autoregression (VAR) to analyse how labour productivity responds to supply and demand shocks and to quantify the contribution of shocks to cyclical fluctuations.
Josué Diwambuena, Francesco Ravazzolo
wiley +1 more source
Food Security-Climate Change-National Income Nexus: Insights from GCC Countries. [PDF]
FoodsElzaki RM.
europepmc +1 more source
Manufacturing price determination in OECD countries; markups, demand and uncertainty in a dynamic heterogeneous panel [PDF]
Manufacturing price markup equations are estimated for 15 OECD countries using annual data. Firms have CES production technology. The markup depends on demand, competitors' prices and uncertainty.
Dimitrios Asteriou +3 more
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