Publications
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Unit root tests for panel data with AR(1) errors and small T KU Leuven
We propose unit root tests for panel data with a small number of time periods, T , and increments that follow an AR(1) process under the null. The model is a fixed-effect panel version of the augmented Dickey–Fuller regression of order 1. Individual-specific linear trends may also be included. The test statistics are t-type statistics based on leastsquares estimates from which the Nickell bias is removed. Their limiting distributions (for an ...
Robust estimators for the fixed effects panel data model KU Leuven
The presence of outlying observations in panel data can affect the classical estimates in a dramatic way. Nevertheless the common practice seems to disregard the problem. The aim of this work is to study robust regression techniques in the fixed effects linear panel data framework. Robustness of the procedures is investigated by means of breakdown point computations and simulation experiments. A distinction between outlying blocks and cells in a ...
From Data to Causes III: Bayesian Priors for General Cross-Lagged Panel Models (GCLM) KU Leuven
This article describes some potential uses of Bayesian estimation for time-series and panel data models by incorporating information from prior probabilities (i.e., priors) in addition to observed data. Drawing on econometrics and other literatures we illustrate the use of informative "shrinkage" or "small variance" priors (including so-called "Minnesota priors") while extending prior work on the general cross-lagged panel model (GCLM). Using a ...
Unit Root Tests for Panel Data with AR(1) Errors and Small T Vrije Universiteit Brussel
The predictability of aggregate consumption growth in OECD countries: a panel data analysis Ghent University
On the role of public policies and wage formation for private investment in R&D: a long-run panel analysis Ghent University
This paper studies the drivers of business funded and performed R&D in a panel of 14 OECD countries since 1981. More specifically, we investigate the effects of public R&D related policies and wage formation. Following Pesaran (Econometrica, 2006) and Kapetanios et al. (Journal of Econometrics, 2011), our empirical strategy allows for cross-sectionally correlated error terms due to the presence of unobserved common factors, which are ...
Median-based estimation of dynamic panel models with fixed effects KU Leuven
© 2016 Elsevier B.V. Outlier-robust estimators are proposed for linear dynamic fixed-effect panel data models where the number of observations is large and the number of time periods is small. In the simple setting of estimating the AR(1) coefficient from stationary Gaussian panel data, the estimator is (a linear transformation of) the median ratio of adjacent first-differenced data pairs. Its influence function is bounded under contamination by ...
Bias-corrected estimation of panel vector autoregressions KU Leuven
© 2016 Elsevier B.V. We derive a bias-corrected least-squares estimator for panel vector autoregressions with fixed effects. The estimator is straightforward to implement and is asymptotically unbiased under asymptotics where the number of time series observations and the number of cross-sectional observations grow at the same rate. This makes the estimator particularly well suited for most macroeconomic data sets.