1,721,798 research outputs found
Forecasting industrial production using factor models and business survey data
No full textThis paper compares the forecasting performance of three alternative factor models based on business survey data for the industrial production in Italy. The first model uses static principal component analysis, while
the other two apply dynamic principal component analysis in frequency domain and subspace algorithms
for state-space representation, respectively. Once the factors are extracted from the business survey data,
then they are included into a single equation to predict the industrial production index. The forecast results
show that the three factor models have a better performance than that of a simple autoregressive benchmark
model regardless of the specification and estimation methods. Furthermore, the state-space model yields
superior forecasts amongst the factor models
Bootstrap innovational outlier unit root tests in dependent panels
No full textIn this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A
bootstrap method for dealing with cross-sectional dependence is provided and small sample properties
of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational outlier unit
tests are then applied to a panel of 22 OECD inflation rates
Cointegration Analysis for Cross-sectionally Dependent Panels. The Case of Regional Production Functions
No full textThis paper employs recently developed non-stationary panel methodologies that assume cross-section dependence to estimate a production function for Italian regions over the 1970-2003 period. The analysis consists of three steps. First, unit root tests for cross-sectionally dependent panels are applied. Second, the existence of a cointegrating relationship among value added, physical capital and human capital-augmented labour is investigated, fully allowing for cross-section dependence. Then, the appropriate Fully Modified Ordinary Least Square estimators developed by Bai and Kao [Bai, J.. Kao, C. 2006. On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence. In: B.H. Baltagi (Ed) Panel Data Econometrics: Theoretical Contributions and Empirical Applications, Elsevier Science: Amsterdam; 2006, pp.3-30.] are used to estimate the long-run relationship. We find that neglecting cross-section dependence can have a strong impact on the estimated long-run input elasticities, generally imparting them an upward bias
Capital mobility and global factor shocks
No full textThis paper focuses on the effects of global factors on the saving–investment relationship. We prove that, if investments and savings are affected by idiosyncratic and global components, they must be cointegrated
to obtain reliable estimates of the saving-retention coefficient. When global shocks are taken into account
through common factors,we find that the estimated saving-retention coefficient is close to zero for a panel
of 21 OECD countries
On the asymptotic behaviour of random matrices in a multivariate statistical model
No full textThis paper aims to provide a nonparametric analysis of the integrated
processes of an integer order, via a theoretical solution of a generalized
eigenvalue problem. To this end, we introduce a mean operator for the process, by using weights belonging to a Sobolev Space.This paper aims to provide a nonparametric analysis of the integrated processes of an integer order, via a theoretical solution of a generalized eigenvalue problem. To this end, we introduce a mean operator for the process, by using weights belonging to a Sobolev Space. © 2008 Elsevier B.V. All rights reserved
Is Social Protection a Necessity or Luxury good? New Multivariate Cointegration Panel Data Results'
No full textThe aim of this paper is to test the claim that social protection is a luxury good.
Therefore, GDP elasticity of selected social protection expenditure is estimated using
a new econometric approach developed first by Kao and Chiang (Advances in Econometrics,
15, 179–222, 2000). Time series properties of selected social expenditure
in 18 OECD countries from 1981 to 1998 are examined. Using panel data cointegration
tests and OLS, FMOLS and DOLS estimators, results were found which differ
from previous analyses reporting substantially higher income elasticities. With the
FMOLS, selected social expenditure has income elasticities smaller than one but
greater than one with the DOLS. It is noteworthy that whether selected social
expenditure is stationary or nonstationary may have critical implications for
researchers and policy makers desiring to model and explain the impact of this
expenditure on a country economic system
New results on the convergence of random matrices
No full textThis paper extends the previous convergence results in Cerqueti and Costantini (2008) to a more general
case using larger normed set of functions. In this regard, the weight-based convergence of the random
matrices and their generalized eigenvalues is obtained under less restrictive requirements for the weights
Crime, Income Inequality and Economic Growth: a Granger Causality Test with Italian Panel Data
No full textStudi empirici dimostrano l'esistena di una correlazione tra criminalità, distribuzione del reddito e
PIL pro capite. Questo lavoro affronta la questione della causalità tra le variabili. Il test di causalità di Granger è condotto con una nuova tecnica econometrica e attraverso l'uso di dati panel. La relazione tra le variabili è
testata nell'ambito delle regioni italiane nel periodo dal 1980 al 1996. I risultati empirici suggeriscono le variabili economiche più rilevanti a la Granger nel ridurre la criminalità.Existing empirical studies provide evidence of correlation between crime, income distribution and real per
capita GDP. This paper addresses the issue of causality between the variables. Granger causality tests are
conducted with a new technique through the use of panel data. The relationship between the variables is
tested across the 20 Italian regions over the time period 1980 to 1996 suggesting which aspects of well
being and economic opportunity are most important in reducing crime in a Granger sense
Simple panel unit root tests to detect changes in persistence
No full textThis paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series
- …
