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372
What do we really know about fiscal sustainability in the EU? A panel data diagnostic
, 2007
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Panel unit root tests in the presence of crosssectional dependencies: Comparison and implications for modelling, Research Memorandum 040
, 2004
"... Several panel unit root tests that account for cross section dependence using a common factor structure have been proposed in the literature recently, notably Pesaran (2005), ..."
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Cited by 31 (2 self)
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Several panel unit root tests that account for cross section dependence using a common factor structure have been proposed in the literature recently, notably Pesaran (2005),
Testing Slope Homogeneity in Large Panels ∗
, 2007
"... This paper proposes a standardized version of Swamy’s test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). The proposed test, denoted by ˜ ∆, exploits the cross section dispersion of individual slopes weighted ..."
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Cited by 23 (2 self)
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This paper proposes a standardized version of Swamy’s test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). The proposed test, denoted by ˜ ∆, exploits the cross section dispersion of individual slopes weighted by their relative precision. In the case of models with strictly exogenous regressors, but with nonnormally distributed errors, the test is shown to have a standard normal distribution as (N, T) j → ∞ such that √ N/T 2 → 0. When the errors are normally distributed, a meanvariance bias adjusted version of the test is shown to be normally distributed irrespective of the relative expansion rates of N and T. The test is also applied to stationary dynamic models, and shown to be valid asymptotically so long as N/T → κ, as (N, T) j → ∞, where 0 ≤ κ < ∞. Using Monte Carlo experiments, it is shown that the test has the correct size and satisfactory power in panels with strictly exogenous regressors for various combinations of N and T. Similar results are also obtained for dynamic panels, but only if the autoregressive coefficient is not too close to unity and so long as T ≥ N.
2011a). Growth, Development and Natural Resources: New Evidence Using a Heterogeneous Panel Analysis. The Quarterly Review of Economics and Finance 51
"... This paper explores whether natural resource abundance is a curse or a blessing. To do so, we …rstly develop a theory consistent econometric model, in which we show that there is a long run relationship between real income, the investment rate, and the real value of oil production. Secondly, we inve ..."
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Cited by 23 (11 self)
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This paper explores whether natural resource abundance is a curse or a blessing. To do so, we …rstly develop a theory consistent econometric model, in which we show that there is a long run relationship between real income, the investment rate, and the real value of oil production. Secondly, we investigate the longrun (level) impacts of natural resource abundance on domestic output as well as the shortrun (growth) e¤ects. Thirdly, we explicitly recognize that there is a substantial crosssectional dependence and crosscountry heterogeneity in our sample, which covers 53 oil exporting and importing countries with very di¤erent historical and institutional backgrounds, and adopt the nonstationary panel methodologies developed by Pesaran (2006) and Pedroni (2000) for estimation. Our results, using the real value of oil production, rent or reserves as a proxy for resource endowment, reveal that oil abundance has a positive e¤ect on both income levels and economic growth. While we accept that oil rich countries could bene…t more from their natural wealth by adopting growth and welfare enhancing policies and institutions, we challenge the common view that oil abundance a¤ects economic growth negatively.
Evolution of forecast disagreement in a Bayesian learning model
 Journal of Econometrics
, 2008
"... Abstract: We estimate a Bayesian learning model with heterogeneity aimed at explaining expert forecast disagreement and its evolution over horizons. Disagreement is postulated to have three components due to differences in: i) the initial prior beliefs, ii) the weights attached on priors, and iii) i ..."
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Cited by 21 (4 self)
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Abstract: We estimate a Bayesian learning model with heterogeneity aimed at explaining expert forecast disagreement and its evolution over horizons. Disagreement is postulated to have three components due to differences in: i) the initial prior beliefs, ii) the weights attached on priors, and iii) interpreting public information. The fixedtarget, multihorizon, crosscountry feature of the panel data allows us to estimate the relative importance of each component precisely. The first component explains nearly all to 30% of forecast disagreement as the horizon decreases from 24 months to 1 month. This finding firmly establishes the role of initial prior beliefs in generating expectation stickiness. We find the second component to have barely any effect on the evolution of forecast disagreement among experts. The importance of the third component increases from almost nothing to 70 % as the horizon gets shorter via its interaction with the quality of the incoming news. We propose a new test of forecast efficiency in the context of Bayesian information processing and find significant heterogeneity in the nature of inefficiency across horizons and countries.
2004: The Carbon Kuznets Curve: A cloudy picture emitted by lousy econometrics? Discussion Paper 0418
 University of Bern
"... In this paper we discuss three important econometric problems with the estimation of Environmental Kuznets Curves, which we exemplify with the particular example of the Carbon Kuznets Curve (CKC). The Carbon Kuznets hypothesis postulates an inverse U–shaped relationship between per capita GDP and pe ..."
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Cited by 21 (3 self)
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In this paper we discuss three important econometric problems with the estimation of Environmental Kuznets Curves, which we exemplify with the particular example of the Carbon Kuznets Curve (CKC). The Carbon Kuznets hypothesis postulates an inverse U–shaped relationship between per capita GDP and per capita CO2 emissions. All three problems occur in the presence of unit root nonstationary regressors in panels. Two of them are rather fundamental: First, the use of nonlinear transformations of integrated regressors in the Kuznets curve, which usually contains GDP and its square is problematic. This stems from the fact that nonlinear transformations of integrated processes are in general not integrated, which implies that (panel) unit root and cointegration techniques, widely used by now in the Kuznets curve literature, cannot be applied meaningfully in this context. Second, all methods applied up to now rest upon the assumption of crosssectional independence. With a first application of factor model based methods that allow for crosssectional dependence, we find evidence for nonstationary common factors in both the GDP and CO2 emissions series. Estimating the CKC on stationary
Econometrics For Grumblers: A New Look At The Literature On CrossCountry Growth Empirics
 Journal of Economic Surveys
, 2011
"... Since the seminal contribution of Gregory Mankiw, David Romer and David Weil (1992), the growth empirics literature has used increasingly sophisticated methods to select relevant growth determinants in estimating crosssection growth regressions. The vast majority of empirical approaches however lim ..."
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Cited by 20 (1 self)
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Since the seminal contribution of Gregory Mankiw, David Romer and David Weil (1992), the growth empirics literature has used increasingly sophisticated methods to select relevant growth determinants in estimating crosssection growth regressions. The vast majority of empirical approaches however limit crosscountry heterogeneity in production technology to the specification of Total Factor Productivity, the ‘measure of our ignorance ’ (Abramowitz, 1956). The central theme of this survey is an investigation of this choice of specification against the background of pertinent data properties when the units of observations are countries or regions and the timeseries dimension of the data becomes substantial. We present two general empirical frameworks for crosscountry productivity analysis and demonstrate that they encompass the approaches in the growth empirics literature of the past two decades. We then develop our central argument, that crosscountry heterogeneity in the impact of observables and unobservables on output is important for reliable empirical analysis. This idea is developed against the background of the pertinent timeseries and crosssection properties of macro panel data.
A Parallel CuttingPlane Algorithm for the Vehicle Routing Problem With Time Windows
, 1999
"... In the vehicle routing problem with time windows a number of identical vehicles must be routed to and from a depot to cover a given set of customers, each of whom has a specified time interval indicating when they are available for service. Each customer also has a known demand, and a vehicle may on ..."
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Cited by 19 (1 self)
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In the vehicle routing problem with time windows a number of identical vehicles must be routed to and from a depot to cover a given set of customers, each of whom has a specified time interval indicating when they are available for service. Each customer also has a known demand, and a vehicle may only serve the customers on a route if the total demand does not exceed the capacity of the vehicle. The most effective solution method proposed to date for this problem is due to Kohl, Desrosiers, Madsen, Solomon, and Soumis. Their algorithm uses a cuttingplane approach followed by a branchand bound search with column generation, where the columns of the LP relaxation represent routes of individual vehicles. We describe a new implementation of their method, using Karger's randomized minimumcut algorithm to generate cutting planes. The standard benchmark in this area is a set of 87 problem instances generated in 1984 by M. Solomon; making using of parallel processing in both the cuttingpla...
A SpatioTemporal Model of House Prices in the US
, 2008
"... This paper provides an empirical analysis of changes in real house prices in the US using State level data. It examines the extent to which real house prices at the State level are driven by fundamentals such as real per capita disposable income, as well as by common shocks, and determines the speed ..."
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Cited by 19 (3 self)
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This paper provides an empirical analysis of changes in real house prices in the US using State level data. It examines the extent to which real house prices at the State level are driven by fundamentals such as real per capita disposable income, as well as by common shocks, and determines the speed of adjustment of real house prices to macroeconomic and local disturbances. We take explicit account of both cross sectional dependence and heterogeneity. This allows us to find a cointegrating relationship between real house prices and real per capita incomes with coefficients (1; 1) , as predicted by the theory. We are also able to identify a significant negative effect for a net borrowing cost variable, and a significant positive effect for the State level population growth on changes in real house prices. Using this model we then examine the role of spatial factors, in particular the effect of contiguous states by use of a weighting matrix. We are able to identify a significant spatial effect, even after controlling for State specific real incomes, and allowing for a number of unobserved common factors. We do, however, find evidence of departures from long run equilibrium in the housing markets in a number of States
The monetary model strikes back: Evidence from the world
, 2010
"... We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in bea ..."
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Cited by 16 (0 self)
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We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in beating a random walk in outofsample prediction. The views expressed in this paper are those of the authors and do not necessarily represent the views or policies of the IMF or BIS. 2I.