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Fiscal Spillovers in the Euro Area: Letting the Data Speak

Fiscal Spillovers in the Euro Area: Letting the Data Speak »

Source: Fiscal Spillovers in the Euro Area: Letting the Data Speak

Volume/Issue: 2017/241

Series: IMF Working Papers

Author(s): Era Dabla-Norris , Pietro Dallari , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 November 2017

ISBN: 9781484328262

Keywords: Fiscal Spillovers; Bayesian Methods; Fiscal Multipliers, Panel VAR, Fiscal Spillovers, Bayesian Methods, Fiscal Multipliers, Bayesian Analysis, Models with Panel Data

We estimate a panel VAR model that captures cross-country, dynamic interlinkages for 10 euro area countries using quarterly data for the period 1999-2016. Our analysis suggests that fiscal spillovers are significan...

An Empirical Reassessment of the Relationship Between Finance and Growth

An Empirical Reassessment of the Relationship Between Finance and Growth »

Source: An Empirical Reassessment of the Relationship Between Finance and Growth

Volume/Issue: 2003/123

Series: IMF Working Papers

Author(s): Giovanni Favara

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854633

Keywords: Financial development, panel methods, equation, statistics, gdp per capita, correlation, Economic Growth and Aggregate Productivity: General,

This paper reexamines the empirical relationship between financial development and economic growth. It presents evidence based on cross-section and panel data using an updated dataset, a variety of econometric meth...

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Volume/Issue: 2011/230

Series: IMF Working Papers

Author(s): Huigang Chen , Alin Mirestean , and Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463921309

Keywords: Bayesian Model Averaging, model uncertainty, dynamic panels, Generalized Method of Moments, gravity model, probability, probabilities, econometrics, equation, sample size

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Mod...

Institutions and Growth

Institutions and Growth »

Source: Institutions and Growth : a GMM/IV Panel VAR Approach

Volume/Issue: 2015/174

Series: IMF Working Papers

Author(s): Carlos Góes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 July 2015

ISBN: 9781513555508

Keywords: Institutions, Panel VAR, Economic Development, gdp, gdp per capita, results, Semiparametric and Nonparametric Methods, Models with Panel Data, Institutions and Growth, Economic Development.,

Both sides of the institutions and growth debate have resorted largely to microeconometric techniques in testing hypotheses. In this paper, I build a panel structural vector autoregression (SVAR) model for a short...

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Volume/Issue: 2009/74

Series: IMF Working Papers

Author(s): Alin Mirestean , Charalambos Tsangarides , and Huigang Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872217

Keywords: Bayesian Model Averaging, Model Uncertainty, Dynamic Panels, Generalized Method of Moments, Robustness, probability, probabilities, econometrics, sample size, equation,

Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well a...

Made in Mexico

Made in Mexico »

Source: Made in Mexico : Energy Reform and Manufacturing Growth

Volume/Issue: 2015/45

Series: IMF Working Papers

Author(s): Jorge Alvarez , and Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2015

ISBN: 9781498376426

Keywords: growth, energy reform, manufacturing output, gas, panel VAR, energy, prices, oil, Semiparametric and Nonparametric Methods, Cross-Sectional Models

This paper assesses the real effects of the energy reform in Mexico by looking at its impact on manufacturing output through changes in energy prices. Using sub-sector and state-level manufacturing output data, alo...

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications »

Source: On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Volume/Issue: 2003/73

Series: IMF Working Papers

Author(s): Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

ISBN: 9781451849486

Keywords: Dynamic Panel Data Models, Monte Carlo Simulation, Heterogeneity Bias, VARs, time series, finite sample, sample bias, econometrics, equation, Multiple or Simultaneous Equation Models: Models with Panel Data

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the...

Real Exchange Rate Misalignment

Real Exchange Rate Misalignment »

Source: Real Exchange Rate Misalignment : A Panel Co-Integration and Common Factor Analysis

Volume/Issue: 2005/164

Series: IMF Working Papers

Author(s): Etienne Yehoue , and Gilles Dufrénot

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861839

Keywords: panel co-integration, common factor, exchange rate, real exchange rate, confidence interval, exchange rates, effective exchange rate, International Economics: General, Simulation Methods,

We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of the real exchange rate (RER) in a sample of 64 developing countries. We study the dynamic of the...

Autocorrelation-Corrected Standard Errors in Panel Probits

Autocorrelation-Corrected Standard Errors in Panel Probits »

Source: Autocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction

Volume/Issue: 2004/39

Series: IMF Working Papers

Author(s): Andrew Berg , and Rebecca Coke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451845860

Keywords: Currency crisis, early-warning systems, serial correlation, panel probit, standard errors, bootstrap, standard error, correlation, Simulation Methods, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magn...

Determinants of Development Financing Flows From Brazil, Russia, India, and China to Low-Income Countries

Determinants of Development Financing Flows From Brazil, Russia, India, and China to Low-Income Countries »

Source: Determinants of Development Financing Flows From Brazil, Russia, India, and China to Low-Income Countries

Volume/Issue: 2011/255

Series: IMF Working Papers

Author(s): Nkunde Mwase

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923914

Keywords: BRICs, Low-Income Countries, Panel VAR, Panel OLS, Concessionality, loan financing, bank debt, equation, dummy variable, error variance

BRICs development financing flows have increased significantly and are expected to become more prominent in the post-crisis era. We investigate the potential implications on the country-allocation of loan commitmen...