185 datasets found

This paper provides doubly robust estimators for treatment effect parameters which are defined in a multivalued treatment effect framework. We apply this method to the unique...

We estimate versions of the Nelson-Siegel model of the yield curve of US government bonds using a Markov switching latent variable model that allows for discrete changes in the...

This paper clarifies some conceptual shortcomings of the empirical environmental Kuznets curve (EKC) literature that arise because of the hitherto inadequate application of unit...

A host of recent research has used reweighting methods to analyze the extent to which observable characteristics predict between-group differences in the distribution of an...

This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive...

This paper assesses intra-sectoral spillovers in total factor productivity (TFP) across Chinese producers in the chemical industry using panel data on 12,552 firms observed over...

This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the...

This paper considers identification of spatial Durbin dynamic panel models under 2SLS and ML estimations. We show that the parameters are generally identified via 2SLS moment...

This paper proposes a unified framework for accommodating both time and cross-sectional dependence in modelling technical efficiency in stochastic frontier models by combining...

This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses...

This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous...

By representing a system of budget shares as an approximate factor model we determine its rank, i.e.?the number of common functional forms or factors, and we estimate a base of...

This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social...

Kelejian (Letters in Spatial and Resources Sciences; 1: 3-11) extended the J-test procedure to a spatial framework. Although his suggested test was computationally simple and...

We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty...

In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating...

This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are...

Factor structure models are widely used in economics to extract latent variables, such as personality traits, and to measure their impact on outcomes of interest. The...

We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854-871) are contingent on the specification of the model. The use of...

This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the...