Orthogonal to Backward Mean Transformation for Dynamic Panel Data Models
In: The Econometrics Journal, Band 16, Heft 2, S. 179-221
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In: The Econometrics Journal, Band 16, Heft 2, S. 179-221
SSRN
In: Journal of economic dynamics & control, Band 34, Heft 3, S. 354-364
ISSN: 0165-1889
This paper examines the sources of stickiness in aggregate consumption growth. We first derive a dynamic consumption equation which encompasses many recent developments in consumption theory: habit formation, intertemporal substitution effects, consumption based on current income, and non-separabilities between private consumption and both hours worked and government consumption.Next, we estimate this dynamic consumption equation for a panel of 15 OECD countries over the period 1972-2007 taking into account endogeneity issues and error cross-sectional dependence. To this end, we develop a generalised method of moments version of the common correlated effects pooled estimator and demonstrate its small sample behaviour using Monte Carlo simulations. The estimation results support the labour-consumption complementarity hypothesis but not the other forms of stickiness.
BASE
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 55, Heft 3, S. 281-299
ISSN: 1467-9485
ABSTRACTThis paper estimates the United States and euro area NAIRU in a Bayesian framework. We set out a simple structural model explaining unemployment by demand and supply factors, which are treated as unobserved variables that have observable effects on measured unemployment, output and inflation. The model allows for unemployment persistence and a time‐varying core inflation rate. The results show that although cyclical shocks are very persistent, most of the increase in European unemployment is driven by structural factors. The degree of persistence is lower in the United States but demand shocks seem to be more important in explaining variation in unemployment.
In: Journal of economic dynamics & control, Band 31, Heft 4, S. 1160-1184
ISSN: 0165-1889
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 26, Heft 1, S. 95-112
ISSN: 0161-8938
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 26, Heft 1, S. 95-112
ISSN: 0161-8938
In: Public choice, Band 105, Heft 1, S. 103-124
ISSN: 0048-5829
In: Journal of economic dynamics & control, Band 128, S. 104134
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 69, S. 179-208
ISSN: 0165-1889
This paper analyzes the direct and indirect effects of fiscal policy on total factor productivity (TFP) in a panel of OECD countries over the period 1970-2012. Our contribution is twofold. First, when estimating the impact of fiscal policy on TFP from a production function approach, we identify the worldwide available level of technology by exploiting the observed strong cross-sectional dependence between countries instead of using ad hoc proxies for technology. Second, next to direct effects, we allow for indirect effects of fiscal policy by modelling the access of countries to worldwide available technology as a function of fiscal policy and other variables. Empirically, we propose and implement a non-linear version of the Common Correlated Effects Pooled (CCEP) estimator of Pesaran (2006). The estimation results show that through the direct channel budget deficits harm TFP. A shift towards productive expenditures has a strong positive impact on TFP, whereas a shift towards social transfers reduces TFP. Through the indirect channel, significant positive effects on a country's access to global technology come from reducing the statutory corporate tax rate and from reducing barriers to trade.
BASE
In: Journal of international economics, Band 125, S. 103325
ISSN: 0022-1996
In: CEPR Discussion Paper No. DP12261
SSRN
Working paper
In: Samenleving en politiek: Sampol ; tijdschrift voor en democratisch socialisme, Band 13, Heft 5, S. 4-10
ISSN: 1372-0740