Search Results
Working Paper
Long-run effects in large heterogenous panel data models with cross-sectionally correlated errors
Chudik, Alexander; Pesaran, M. Hashem; Raissi, Mehdi; Mohaddes, Kamiar
(2015-01-01)
This paper develops a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in large dynamic heterogeneous panel data models with cross-sectionally dependent errors. The asymptotic distribution of the CS-DL estimator is derived under coefficient heterogeneity in the case where the time dimension (T) and the crosssection dimension (N) are both large. The CS-DL approach is compared with more standard panel data estimators that are based on autoregressive distributed lag (ARDL) specifications. It is shown that unlike the ARDL type estimator, the CS-DL ...
Globalization Institute Working Papers
, Paper 223
Working Paper
Breaking down world trade elasticities: a panel ECM approach
Martinez-Martin, Jaime
(2016-07-18)
This paper exhaustively analyses the recent decline of international trade elasticities to output growth. We extend an empirical model of import demand functions to account not only for transitory factors, such as relative prices and import intensity-adjusted measures of demand (I-O Tables), but also for habitually neglected permanent factors such as protectionism, vertical integration (i.e. Global Value Chains) and foreign direct investment (FDI). Dealing with a non-stationary heteregenous panel of 27 countries, we estimate a panel Error Correction Model from 1960 to 2015 in order to break ...
Globalization Institute Working Papers
, Paper 275
Working Paper
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Smith, Ron P.; Chudik, Alexander; Pesaran, M. Hashem
(2023-11-08)
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS) and panel fully-modified OLS (FMOLS). Application of two bias-correction ...
Globalization Institute Working Papers
, Paper 409
Working Paper
A Robust Method for Microforecasting and Estimation of Random Effects
Giacomini, Raffaella; Lee, Sokbae; Sarpietro, Silvia
(2023-08-02)
We propose a method for forecasting individual outcomes and estimating random effects in linear panel data models and value-added models when the panel has a short time dimension. The method is robust, trivial to implement and requires minimal assumptions. The idea is to take a weighted average of time series- and pooled forecasts/estimators, with individual weights that are based on time series information. We show the forecast optimality of individual weights, both in terms of minimax-regret and of mean squared forecast error. We then provide feasible weights that ensure good performance ...
Working Paper Series
, Paper WP 2023-26
Report
A Jackknife Variance Estimator for Panel Regressions
Lopez Gaffney, Ignacio; Crump, Richard K.; Gospodinov, Nikolay
(2024-10-01)
We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as the conventional leave-one-out jackknife variance estimator on a transformed space of the regressors and residuals using orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable finite-sample properties in a series of simulation experiments. We also illustrate how our method can be used for jackknife bias-correction in a variety of time-series settings.
Staff Reports
, Paper 1133
Working Paper
Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor
Chudik, Alexander; Yang, Jui-Chung; Pesaran, M. Hashem
(2016-08-31)
This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent variables and/or other weakly exogenous (or predetermined) regressors when NN (the cross section dimension) is large relative to TT (the time series dimension). The paper first derives a general formula for the bias of the FE estimator which is a generalization of the Nickell type bias derived in the literature for the pure dynamic panel data models. It shows that in the presence of weakly exogenous regressors, inference based on the FE estimator will result in size distortions ...
Globalization Institute Working Papers
, Paper 281
Working Paper
A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area
Tracy, Joseph; Rich, Robert W.
(2018-09-28)
This paper examines point and density forecasts of real GDP growth, inflation and unemployment from the European Central Bank?s Survey of Professional Forecasters. We present individual uncertainty measures and introduce individual point- and density-based measures of disagreement. The data indicate substantial heterogeneity and persistence in respondents? uncertainty and disagreement, with uncertainty associated with prominent respondent effects and disagreement associated with prominent time effects. We also examine the co-movement between uncertainty and disagreement and find an ...
Working Papers (Old Series)
, Paper 1813
Working Paper
How have global shocks impacted the real effective exchange rates of individual Euro area countries since the Euro's creation?
Mehl, Arnaud; Chudik, Alexander; Bussiere, Matthieu
(2011)
This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union (EMU), a largely open ended question when the euro was created. We apply to that end a newly developed methodology based on high dimensional VAR theory. This approach features a dominant unit to a large set of over 60 countries' real effective exchange rates and is based on the comparison of two estimated systems: one before and one after EMU. ; We find strong evidence that the pattern of responses depends crucially on the ...
Globalization Institute Working Papers
, Paper 102
Working Paper
What Imports to Import Prices?
Martínez García, Enrique; Strackman, Braden
(2024-10-25)
This study offers new insights into exchange rate pass-through (ERPT) using U.S. import price indexes by country-of-origin, covering two decades of monthly data. Focusing on the largest U.S. trading partners, our analysis shows that ERPT is more muted than previously estimated, with freight costs having no measurable impact on import prices and foreign production costs exerting only limited influence. We also observe significant heterogeneity in countries’ short-run responses, shaped by differences in trade composition and pricing strategies. Consistent estimates across common dynamic panel ...
Working Papers
, Paper 2410
Working Paper
exuber: Recursive Right-Tailed Unit Root Testing with R
http://fedora:8080/fcrepo/rest/objects/authors/; Martinez-Garcia, Enrique; Pavlidis, Efthymios
(2020-05-12)
This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that ...
Globalization Institute Working Papers
, Paper 383
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of Dallas 28 items
Federal Reserve Bank of New York 7 items
Board of Governors of the Federal Reserve System (U.S.) 6 items
Federal Reserve Bank of Atlanta 4 items
Federal Reserve Bank of Chicago 4 items
Federal Reserve Bank of Philadelphia 4 items
Federal Reserve Bank of Cleveland 3 items
Federal Reserve Bank of St. Louis 2 items
Federal Reserve Bank of Richmond 1 items
Federal Reserve Bank of San Francisco 1 items
show more (5)
show less
FILTER BY Series
Globalization Institute Working Papers 25 items
Working Papers 9 items
Staff Reports 7 items
Finance and Economics Discussion Series 6 items
Working Paper Series 4 items
Policy Hub 2 items
Working Papers (Old Series) 2 items
Chicago Fed Letter 1 items
Consumer Finance Institute discussion papers 1 items
FRB Atlanta Working Paper 1 items
Policy Hub* 1 items
Working Paper 1 items
show more (7)
show less
FILTER BY Content Type
Working Paper 48 items
Report 7 items
Discussion Paper 2 items
Journal Article 2 items
Newsletter 1 items
FILTER BY Author
Chudik, Alexander 16 items
Pesaran, M. Hashem 12 items
Mohaddes, Kamiar 6 items
Martinez-Garcia, Enrique 5 items
Raissi, Mehdi 5 items
Smith, Ron P. 4 items
Higgins, Patrick C. 3 items
Choi, Chi-Young 2 items
Crump, Richard K. 2 items
D'Amico, Stefania 2 items
Fan, Roger 2 items
Freyaldenhoven, Simon 2 items
Gospodinov, Nikolay 2 items
Hansen, Christian 2 items
Kabukcuoglu, Ayse 2 items
Kitsul, Yuriy 2 items
Lopez Gaffney, Ignacio 2 items
Pavlidis, Efthymios 2 items
Pinkovskiy, Maxim L. 2 items
Rich, Robert W. 2 items
Shapiro, Jesse 2 items
Strackman, Braden 2 items
Tracy, Joseph 2 items
Van der Klaauw, Wilbert 2 items
Argys, Laura 1 items
Asnani, Priyanka 1 items
Athreya, Kartik B. 1 items
Baglan, Deniz 1 items
Berge, Travis J. 1 items
Brave, Scott A. 1 items
Bussiere, Matthieu 1 items
Caetano, Carolina 1 items
Caetano, Gregorio 1 items
Calem, Paul S. 1 items
Cole, Ross 1 items
Craig, Ben R. 1 items
Dube, Arindrajit 1 items
El-Anshasy, Amany 1 items
Fe, Hao 1 items
Fischer, Christoph 1 items
Francis, Neville 1 items
Fritsch, Nicholas 1 items
Giacomini, Raffaella 1 items
Girardi, Daniele 1 items
Gordon, Grey 1 items
Groshen, Erica L. 1 items
Grove, Stephanie 1 items
Haughwout, Andrew F. 1 items
Hausman, Jerry A. 1 items
Jackson, Laura E. 1 items
Jones, John Bailey 1 items
Jordà, Òscar 1 items
Kay, Benjamin S. 1 items
Khatiwoda, Albina 1 items
Koşar, Gizem 1 items
Kydland, Finn E. 1 items
Lee, Sokbae 1 items
Lewis, Daniel J. 1 items
Liu, Laura 1 items
Majerovitz, Jeremy 1 items
Martinez-Martin, Jaime 1 items
Martínez García, Enrique 1 items
Mehl, Arnaud 1 items
Melcangi, Davide 1 items
Mikhed, Vyacheslav 1 items
Morgan, Donald P. 1 items
Mroz, Thomas 1 items
Neelakantan, Urvi 1 items
Neubauer, Michael 1 items
Nielsen, Eric R. 1 items
Nugent, Jeffrey B. 1 items
Owyang, Michael T. 1 items
Perez Perez, Jorge 1 items
Pfajfar, Damjan 1 items
Pilossoph, Laura 1 items
Pitts, M. Melinda 1 items
Ramasamy, Chellappan 1 items
Saldias Zambrana, Martin 1 items
Sarpietro, Silvia 1 items
Sastry, Karthik 1 items
Schulhofer-Wohl, Sam 1 items
Schweitzer, Mark E. 1 items
Soytas, Mehmet A. 1 items
Taylor, Alan M. 1 items
Toner-Rodgers, Aidan 1 items
Vasilopoulos, Kostas 1 items
Vogan, Michael 1 items
Wang, Jenna 1 items
Weber, Anke 1 items
Yang, Jui-Chung 1 items
Yoldas, Emre 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
show more (87)
show less
FILTER BY Jel Classification
C12 14 items
C13 12 items
C21 9 items
C33 6 items
C53 6 items
E32 6 items
C22 5 items
E31 5 items
C10 4 items
G21 4 items
C26 3 items
D12 3 items
F62 3 items
C15 2 items
C87 2 items
E43 2 items
E52 2 items
E62 2 items
F14 2 items
F31 2 items
F34 2 items
F41 2 items
F43 2 items
G12 2 items
G19 2 items
H6 2 items
J15 2 items
J31 2 items
O13 2 items
O40 2 items
C01 1 items
C11 1 items
C14 1 items
C18 1 items
C2 1 items
C24 1 items
C25 1 items
C31 1 items
C45 1 items
C52 1 items
C63 1 items
C83 1 items
D31 1 items
D78 1 items
D81 1 items
D84 1 items
D91 1 items
E02 1 items
E30 1 items
E37 1 items
E44 1 items
F16 1 items
F40 1 items
F47 1 items
G02 1 items
G1 1 items
G22 1 items
G28 1 items
G30 1 items
G33 1 items
I10 1 items
I18 1 items
J1 1 items
J20 1 items
J63 1 items
L25 1 items
Q32 1 items
R12 1 items
show more (64)
show less
FILTER BY Keywords
panel data 7 items
Autoregressive-Distributed Lag model (ARDL) 4 items
Heterogeneous dynamic panels 4 items
I(1) regressors 4 items
pooled mean group estimator (PMG) 4 items
regional data 4 items
unemployment 4 items
Bewley transform 3 items
Phillips curve 3 items
bias correction 3 items
cross-sectional dependence 3 items
event study 3 items
inflation 3 items
labor markets 3 items
BMM 2 items
Bias-Corrected Moment Conditions 2 items
ECB Survey of Professional Forecasters 2 items
FMOLS 2 items
GMM 2 items
Hausman Test 2 items
Inflation 2 items
Mean Group Distributed Lag (MGDL) 2 items
Mildly explosive time series 2 items
Monte Carlo Evidence 2 items
Nonlinear Moment Conditions 2 items
PDOLS 2 items
Panel VARs 2 items
R 2 items
Right-tailed unit root tests 2 items
Self-Instrumenting 2 items
Short-T Dynamic Panels 2 items
bootstrap 2 items
difference-in-differences 2 items
estimation 2 items
impulse response functions 2 items
inference 2 items
pre-trends 2 items
robust inference 2 items
trigonometric basis functions 2 items
Age-time-cohort identification problem 1 items
BEER 1 items
Bayesian nonparametric methods 1 items
Bayesian quantile regression 1 items
Bunching 1 items
Business cycles 1 items
COVID-19 1 items
Collateral 1 items
Comprehensive Capital Analysis and Review (CCAR) 1 items
Cross-Sectional Dependence 1 items
Demographics 1 items
Density Forecasts 1 items
Density forecasts 1 items
Difference-in-Difference Estimates 1 items
Disagreement 1 items
Discrete-choice models 1 items
Duration analysis 1 items
Endogeneity 1 items
Equilibrium real exchange rate 1 items
Event Studies 1 items
Exchange rate pass-through 1 items
Flattening the Curve 1 items
Forecast combination 1 items
Google Mobility 1 items
HELOC 1 items
Hazard rates 1 items
Heterogeneity 1 items
Identification test 1 items
Labor and Demographic Economics 1 items
Labor market 1 items
Labor-Market Uncertainty 1 items
Life-cycle models 1 items
Linear models 1 items
Macro Expectations 1 items
Mean Group Estimator 1 items
Monetary policy asymmetries 1 items
Natural Experiments 1 items
Network analysis 1 items
Panel Data 1 items
Panel data 1 items
Panel data model 1 items
Point Forecasts 1 items
Policy Experiments 1 items
Policy Response Stringency 1 items
Pooled Bewley (PB) estimator 1 items
Pooled Minimum Eigenvalue (PME) estimator 1 items
Posterior consistency 1 items
Robustness 1 items
Treasury auctions 1 items
Treasury bonds 1 items
Two-way fixed effects 1 items
US state border counties 1 items
Uncertainty 1 items
Wages 1 items
Young firm dynamics 1 items
applied econometrics 1 items
auto lenders 1 items
auto loans 1 items
banking 1 items
beliefs 1 items
bias correction 1 items
bias-correction 1 items
bunching 1 items
business cycles 1 items
census tract 1 items
clean controls 1 items
cluster-robust variance estimation 1 items
clustering 1 items
consumer protection 1 items
correlated random effects model 1 items
credit cards 1 items
credit reports 1 items
data breach 1 items
default risk 1 items
density forecasting 1 items
density forecasts 1 items
differences-in-differences 1 items
disagreement 1 items
dynamic panel 1 items
dynamic panel data 1 items
dynamic panel estimation 1 items
earnings dynamics 1 items
econometrics 1 items
economic growth 1 items
eigenvalue thresholding 1 items
event studies 1 items
expectations data 1 items
financial ratios 1 items
fraud alert 1 items
heterogeneity 1 items
heterogeneous treatment effects 1 items
high time-series persistence and spurious regressions 1 items
household debt 1 items
household surveys 1 items
identity theft 1 items
import prices 1 items
incarceration 1 items
interactive time effects 1 items
interest rate risk 1 items
large-scale asset purchase programs 1 items
leave-one-out frequency approach 1 items
leave-one-out jackknife 1 items
linear panel data models 1 items
liquidity 1 items
local projections 1 items
longer maturities 1 items
longer-term borrowings 1 items
mortgage 1 items
mortgage lending 1 items
multiple long run relations 1 items
negative weights 1 items
net interest margins 1 items
observable characteristics 1 items
origination vintages 1 items
orthogonalization 1 items
panel estimation method 1 items
point forecasts 1 items
price competitiveness 1 items
productivity approach 1 items
racial inequality 1 items
regression diagnostic 1 items
relative contributions of different frequencies 1 items
repo contracts 1 items
repo market 1 items
securities 1 items
semiparametric panel data model 1 items
series estimation 1 items
shift-share instruments 1 items
spatial dependence 1 items
spatial models 1 items
split-panel jackknife 1 items
staggered adoption 1 items
strong time-series and cross-sectional dependence 1 items
student loans 1 items
supply-demand factors 1 items
survival analysis 1 items
treasury bonds 1 items
two-way fixed effects 1 items
uncertainty 1 items
unobserved heterogeneity 1 items
variable selection 1 items
xtpb 1 items
show more (176)
show less