A method for evaluating the rank condition for CCE estimators

Autor: Ignace De Vos, Gerdie Everaert, Vasilis Sarafidis

Publikováno v: De Vos, I, Everaert, G & Sarafidis, V 2022 ' A method for evaluating the rank condition for CCE estimators ' MPRA Working Papers . < https://mpra.ub.uni-muenchen.de/112305/ >
Vrije Universiteit Amsterdam

This paper proposes a binary classifier to evaluate the rank condition (RC) thatis required for consistency of the Common Correlated Effects (CCE) estimator. The RC postulates that the number of unobserved factors, m, is not larger than the rank of t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::41c92a1781ecbfebca84b1efc35d868a
https://hdl.handle.net/1871.1/aeb3c327-5e4e-4363-bcda-084ee3774686

Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels

Autor: Ignace De Vos, Gerdie Everaert

Publikováno v: De Vos, I & Everaert, G 2021, ' Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels ', Journal of Business and Economic Statistics, vol. 39, no. 1, pp. 294-306 . https://doi.org/10.1080/07350015.2019.1654879
Journal of Business and Economic Statistics, 39(1), 294-306. American Statistical Association
Journal of Business & Economic Statistics; 39(1), pp 294-306 (2021)
JOURNAL OF BUSINESS & ECONOMIC STATISTICS

This article extends the common correlated effects pooled (CCEP) estimator to homogenous dynamic panels. In this setting, CCEP suffers from a large bias when the time span (T) of the dataset is fixed. We develop a bias-corrected CCEP estimator that i

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::13a82d6b2bd075c6c41ddbc7fb06e0fc
https://research.vu.nl/en/publications/612f6898-649c-4c6e-bfc4-043649759df8

Measuring the international dimension of output volatility

Autor: Martin Iseringhausen, Gerdie Everaert

Publikováno v: Journal of International Money and Finance. 81:20-39

This paper studies output fluctuations in a panel of OECD economies with the aim to decompose the evolution in output volatility into domestic and international factors. To this end we use a factor-augmented dynamic panel model with both domestic and

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::cf9503847b563f31ff35c54c240cfc37
https://doi.org/10.1016/j.jimonfin.2017.11.001

Demographics and Business Cycle Volatility: A Spurious Relationship?

Autor: Gerdie Everaert, Hauke Vierke

Publikováno v: Journal of Applied Econometrics. 31:1467-1477

Summary This paper replicates the estimation results of three studies on the impact of the age composition of the labor force on business cycle volatility and investigates whether they signal a meaningful long-run relationship. We show that both the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::cef10a24c6d181a38b76df3cde1f195e
https://doi.org/10.1002/jae.2519

Bootstrap-based Bias Correction and Inference for Dynamic Panels with Fixed Effects

Autor: Ilse Ruyssen, Ignace De Vos, Gerdie Everaert

Publikováno v: Stata journal, 15(4):st0396, 986-1018. DPC Nederland
STATA JOURNAL
Ghent University Academic Bibliography
Vos, I D, Everaert, G & Ruyssen, I 2018, ' Bootstrap-based Bias Correction and Inference for Dynamic Panels with Fixed Effects ', Stata journal, vol. 15, no. 4, st0396, pp. 986-1018 . https://doi.org/10.1177/1536867x1501500404

In this article, we describe a new command, xtbcfe, that performs the iterative bootstrap-based bias correction for the fixed-effects estimator in dynamic panels proposed by Everaert and Pozzi (2007, Journal of Economic Dynamics and Control 31: 1160�

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e29e3b49dc4150eceff3def9ed73be85
https://research.vu.nl/en/publications/b907d96e-1277-4268-bb10-ad06960f7fd2