ERN: Panel Data Models (Multiple) (Topic)最新文献

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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies 发达经济体的不良贷款与宏观金融脆弱性
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2011-07-01 DOI: 10.5089/9781455297740.001.A001
Mwanza Nkusu
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引用次数: 558
Unemployment Hysteresis in Transition Countries: Evidence Using Stationarity Panel Tests with Breaks 转型国家的失业滞后:使用带有断裂的平稳性面板检验的证据
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2008-07-21 DOI: 10.1111/j.1467-9361.2008.00476.x
Mariam Camarero, Josep Lluís Carrion‐i‐Silvestre, Cecilio Tamarit
{"title":"Unemployment Hysteresis in Transition Countries: Evidence Using Stationarity Panel Tests with Breaks","authors":"Mariam Camarero, Josep Lluís Carrion‐i‐Silvestre, Cecilio Tamarit","doi":"10.1111/j.1467-9361.2008.00476.x","DOIUrl":"https://doi.org/10.1111/j.1467-9361.2008.00476.x","url":null,"abstract":"The authors test hysteresis versus the natural rate hypothesis in unemployment using panel data for transition countries covering the period 1991:1-2003:11. The advantages of the stationarity tests applied is that they exploit the cross-section variations of the series and, additionally, allow for a different number of endogenous breakpoints in the unemployment series. They do not impose independence on the panel members, so that the critical values are simulated based on their specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the shifting natural-rate hypothesis of unemployment for all the countries analyzed. Copyright © 2008 The Authors. Journal compilation © 2008 Blackwell Publishing Ltd.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124700336","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 39
Can I Use a Panel? Panel Conditioning and Attrition Bias in Panel Surveys 我可以使用面板吗?小组调查中的小组调节和人员流失偏差
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2007-08-01 DOI: 10.2139/ssrn.1012252
M. Das, V. Toepoel, A. van Soest
{"title":"Can I Use a Panel? Panel Conditioning and Attrition Bias in Panel Surveys","authors":"M. Das, V. Toepoel, A. van Soest","doi":"10.2139/ssrn.1012252","DOIUrl":"https://doi.org/10.2139/ssrn.1012252","url":null,"abstract":"Over the past decades there has been an increasing use of panel surveys at the household or individual level, instead of using independent cross-sections. Panel data have important advantages, but there are also two potential drawbacks: attrition bias and panel conditioning effects. Attrition bias can arise if respondents drop out of the panel non-randomly, i.e., when attrition is correlated to a variable of interest. Panel conditioning arises if responses in one wave are in°uenced by participation in the previous wave(s). The experience of the previous interview(s) may affect the answers of respondents in a next interview on the same topic, such that their answers differ systematically from the answers of individuals who are interviewed for the first time. The literature has mainly focused on estimating attrition bias; less is known on panel conditioning effects. In this study we discuss how to disentangle the total bias in panel surveys due to attrition and panel conditioning into a panel conditioning and an attrition effect, and develop a test for panel conditioning allowing for non-random attrition. First, we consider a fully nonparametric approach without any assumptions other than those on the sample design, leading to interval identification of the measures for the attrition and panel conditioning effect. Second, we analyze the proposed measures under additional assumptions concerning the attrition process, making it possible to obtain point estimates and standard errors for both the attrition bias and the panel conditioning effect. We illustrate our method on a variety of questions from two-wave surveys conducted in a Dutch household panel. We found a significant bias due to panel conditioning in knowledge questions, but not in other types of questions. The examples show that the bounds can be informative if the attrition rate is not too high. Point estimates of the panel conditioning effect do not vary a lot with the different assumptions on the attrition process.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"124 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115613985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Time-Dependent versus State-Dependent Pricing: A Panel Data Approach to the Determinants of Belgian Consumer Price Changes 时间依赖与国家依赖的定价:比利时消费者价格变化决定因素的面板数据方法
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2005-03-01 DOI: 10.2139/ssrn.1691469
Luc Aucremanne, E. Dhyne
{"title":"Time-Dependent versus State-Dependent Pricing: A Panel Data Approach to the Determinants of Belgian Consumer Price Changes","authors":"Luc Aucremanne, E. Dhyne","doi":"10.2139/ssrn.1691469","DOIUrl":"https://doi.org/10.2139/ssrn.1691469","url":null,"abstract":"Using Logistic Normal regressions, we model the price-setting behaviour for a large sample of Belgian consumer prices over the January 1989 - January 2001 period. Our results indicate that time-dependent features are very important, particularly an infinite mixture of Calvo pricing rules and truncation at specific horizons. Truncation is mainly a characteristic of pricing in the service sector where it mostly takes the form of annual Taylor contracts typically renewed at the end of December. Several other variables, including some that can be considered as state variables, are also found to be statistically significant. This is particularly so for accumulated sectoral inflation since the last price change. Once heterogeneity and the role of accumulated inflation are acknowledged, hazard functions become mildly upward-sloping, even in a low inflation regime. The contribution of the state-dependent variables to the pseudo-R² of our equations is, however, not particularly important.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115821245","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 236
Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey 非平稳面板、面板协整与动态面板:综述
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2000-03-01 DOI: 10.2139/ssrn.1808022
B. Baltagi, C. Kao
{"title":"Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey","authors":"B. Baltagi, C. Kao","doi":"10.2139/ssrn.1808022","DOIUrl":"https://doi.org/10.2139/ssrn.1808022","url":null,"abstract":"This chapter provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115586649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 350
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