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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

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Structural Models of Wage and Employment Dynamics
Type: Book
ISBN: 978-0-44452-089-0

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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

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Book part
Publication date: 12 December 2003

Thomas B. Fomby and Timothy J. Vogelsang

We examine the global warming temperature data sets of Jones et al. (1999) and Vinnikov et al. (1994) in the context of the multivariate deterministic trend-testing…

Abstract

We examine the global warming temperature data sets of Jones et al. (1999) and Vinnikov et al. (1994) in the context of the multivariate deterministic trend-testing framework of Franses and Vogelsang (2002). We find that, across all seasons, global warming seems to be present for the globe and for the northern and southern hemispheres. Globally and within hemispheres, it appears that seasons are not warming equally fast. In particular, winters appear to be warming faster than summers. Across hemispheres, it appears that the winters in the northern and southern hemispheres are warming equally fast whereas the remaining seasons appear to have unequal warming rates. The results obtained here seem to coincide with the findings of Kaufmann and Stern (2002) who use cointegration analysis and find that the hemispheres are warming at different rates.

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Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later
Type: Book
ISBN: 978-1-84950-253-5

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Book part
Publication date: 2 February 2000

Kenneth Burdett and Melvyn G. Coles

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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

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Book part
Publication date: 15 April 2020

Jianning Kong, Peter C. B. Phillips and Donggyu Sul

Measurement of diminishing or divergent cross section dispersion in a panel plays an important role in the assessment of convergence or divergence over time in key…

Abstract

Measurement of diminishing or divergent cross section dispersion in a panel plays an important role in the assessment of convergence or divergence over time in key economic indicators. Econometric methods, known as weak σ-convergence tests, have recently been developed (Kong, Phillips, & Sul, 2019) to evaluate such trends in dispersion in panel data using simple linear trend regressions. To achieve generality in applications, these tests rely on heteroskedastic and autocorrelation consistent (HAC) variance estimates. The present chapter examines the behavior of these convergence tests when heteroskedastic and autocorrelation robust (HAR) variance estimates using fixed-b methods are employed instead of HAC estimates. Asymptotic theory for both HAC and HAR convergence tests is derived and numerical simulations are used to assess performance in null (no convergence) and alternative (convergence) cases. While the use of HAR statistics tends to reduce size distortion, as has been found in earlier analytic and numerical research, use of HAR estimates in nonparametric standardization leads to significant power differences asymptotically, which are reflected in finite sample performance in numerical exercises. The explanation is that weak σ-convergence tests rely on intentionally misspecified linear trend regression formulations of unknown trend decay functions that model convergence behavior rather than regressions with correctly specified trend decay functions. Some new results on the use of HAR inference with trending regressors are derived and an empirical application to assess diminishing variation in US State unemployment rates is included.

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Abstract

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Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

To view the access options for this content please click here

Abstract

Details

Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

Abstract

Details

Panel Data and Structural Labour Market Models
Type: Book
ISBN: 978-0-44450-319-0

To view the access options for this content please click here
Book part
Publication date: 21 November 2014

Yixiao Sun

New asymptotic approximations are established for the Wald and t statistics in the presence of unknown but strong autocorrelation. The asymptotic theory extends the usual…

Abstract

New asymptotic approximations are established for the Wald and t statistics in the presence of unknown but strong autocorrelation. The asymptotic theory extends the usual fixed-smoothing asymptotics under weak dependence to allow for near-unit-root and weak-unit-root processes. As the locality parameter that characterizes the neighborhood of the autoregressive root increases from zero to infinity, the new fixed-smoothing asymptotic distribution changes smoothly from the unit-root fixed-smoothing asymptotics to the usual fixed-smoothing asymptotics under weak dependence. Simulations show that the new approximation is more accurate than the usual fixed-smoothing approximation.

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