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Longitudinal Data Analysis and Time Series Commons™
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- Bayesian Model Averaging (1)
- Change Point (1)
- Common Correlated Effects (1)
- Computable General Equilibrium (1)
- Consistency (1)
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- Copula Model (1)
- Copula Modeling (1)
- Cross-sectional Dependence (1)
- Economic Growth (1)
- Export (1)
- Forecasting and Time Series (1)
- Heterogeneous Panels (1)
- Iran’s Economy (1)
- Macroeconomics (1)
- Nonlinear Multivariate Time Series (1)
- Nonstationarity (1)
- Panel Data (1)
- Social Accounting Matrix (1)
- Stationary or Nonstationary regressors (1)
- Structural Breaks (1)
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Articles 1 - 4 of 4
Full-Text Articles in Longitudinal Data Analysis and Time Series
Estimation Of Heterogeneous Panels With Structural Breaks, Badi Baltagi
Estimation Of Heterogeneous Panels With Structural Breaks, Badi Baltagi
Center for Policy Research
This paper extends Pesaran's (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are more likely to occur over a longer time span. Consequently, ignoring structural breaks may lead to inconsistent estimation and invalid inference. We propose a general framework that includes heterogeneous panel data models and structural break models as special cases. The least squares method proposed by Bai (1997a, 2010) is applied to estimate the common change points, and the consistency …
Estimation And Identification Of Change Points In Panel Models With Nonstationary Or Stationary Regressors And Error Term, Badi H. Baltagi, Chihwa Kao, Long Liu
Estimation And Identification Of Change Points In Panel Models With Nonstationary Or Stationary Regressors And Error Term, Badi H. Baltagi, Chihwa Kao, Long Liu
Center for Policy Research
This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarová (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic distributions of the Ordinary Least Squares (OLS) and First Difference (FD) estimators. We find that the FD estimator is robust for all cases considered.
Studying The Effects Of Non Oil Exports On Targeted Economic Growth In Iranian 5th Development Plan: A Computable General Equilibrium Approach, Rasoul Bakhsi Dastjerdi Dr., Reza Moosavi Mohseni Dr., Somayye Jafari
Studying The Effects Of Non Oil Exports On Targeted Economic Growth In Iranian 5th Development Plan: A Computable General Equilibrium Approach, Rasoul Bakhsi Dastjerdi Dr., Reza Moosavi Mohseni Dr., Somayye Jafari
Reza Moosavi Mohseni
we investigate the effects of non oil export on Iran’s economic growth using a computable general equilibrium (CGE) and study which tradable sectors has a larger share in reaching to targeted growth rate 8% in 5th socio economic development plan. We calibrate the model by GAMS (with emphasis on foreign trade sector). Numerical solution to the model is based on Iran’s social accounting matrix (SAM). Results show that 2.03% of targeted economic growth rate is achieved by encouraging a 6% growth in export. It also be mentioned that industry and mine sector in Iran, has more influence on growth than …
Copula Modelling Of Dependence In Multivariate Time Series, Michael S. Smith
Copula Modelling Of Dependence In Multivariate Time Series, Michael S. Smith
Michael Stanley Smith