Search Results

You are looking at 1 - 10 of 16 items

  • Keyword: dynamic panel x
  • Keywords: equation x
Clear All Modify Search
On the Properties of Various Estimators for Fiscal Reaction Functions

On the Properties of Various Estimators for Fiscal Reaction Functions »

Source: On the Properties of Various Estimators for Fiscal Reaction Functions

Volume/Issue: 2006/182

Series: IMF Working Papers

Author(s): Oya Celasun , and Joong Kang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2006

ISBN: 9781451864427

Keywords: Fiscal reaction functions, panel data, dynamic models, equation, fiscal reaction, equations, public debt, National Deficit Surplus,

This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions-that is, relation...

Growth Determinants Revisited

Growth Determinants Revisited »

Source: Growth Determinants Revisited

Volume/Issue: 2009/268

Series: IMF Working Papers

Author(s): Charalambos Tsangarides , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874136

Keywords: growth regressions, Bayesian Model Averaging, dynamic panel estimation, limited information estimation, probability, econometrics, probabilities, equation, growth model,

This paper revisits the cross-country growth empirics debate using a novel Limited Information Bayesian Model Averaging framework to address model uncertainty in the context of a dynamic growth model in panel data...

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...

A Bayesian Approach to Model Uncertainty

A Bayesian Approach to Model Uncertainty »

Source: A Bayesian Approach to Model Uncertainty

Volume/Issue: 2004/68

Series: IMF Working Papers

Author(s): Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451849028

Keywords: Economic models, Forecasting models, Dynamic Panel Estimation, Bayesian Model Averaging, probability, probabilities, hypothesis testing, bayes factors, equation

This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predi...

Growth Empirics Under Model Uncertainty

Growth Empirics Under Model Uncertainty »

Source: Growth Empirics Under Model Uncertainty : Is Africa Different?

Volume/Issue: 2005/18

Series: IMF Working Papers

Author(s): Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2005

ISBN: 9781451860375

Keywords: growth regressions, Bayesian model averaging, dynamic panel estimation, debt, probability, samples, debt service, external debt, Bayesian Analysis, Multiple or Simultaneous Equation Models: Models with Panel Data

This paper attempts to identify robust patterns of cross-country growth behavior in the world as a whole and Africa. It employs a novel methodology that incorporates a dynamic panel estimator, and Bayesian Model Av...

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...

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...

Estimation of Economic Growth in France Using Business Survey Data1

Estimation of Economic Growth in France Using Business Survey Data1 »

Source: Estimation of Economic Growth in France Using Business Survey Data

Volume/Issue: 2004/69

Series: IMF Working Papers

Author(s): Alain Kabundi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451849097

Keywords: Dynamic factor models, survey data, forecasting, surveys, growth rate, economic growth, economic growth rate, Multiple or Simultaneous Equation Models: Models with Panel Data, Survey Methods, Forecasting and Other Model Applications

This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extrac...

On the Properties of Various Estimators for Fiscal Reaction Functions

On the Properties of Various Estimators for Fiscal Reaction Functions »

Volume/Issue: 2006/182

Series: IMF Working Papers

Author(s): Oya Celasun , and Joong Kang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2006

DOI: http://dx.doi.org/10.5089/9781451864427.001

ISBN: 9781451864427

Keywords: Fiscal reaction functions, panel data, dynamic models, equation, fiscal reaction, equations, public debt, National Deficit Surplus,

This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions-that is, relation...

Growth Determinants Revisited

Growth Determinants Revisited »

Volume/Issue: 2009/268

Series: IMF Working Papers

Author(s): Charalambos Tsangarides , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

DOI: http://dx.doi.org/10.5089/9781451874136.001

ISBN: 9781451874136

Keywords: growth regressions, Bayesian Model Averaging, dynamic panel estimation, limited information estimation, probability, econometrics, probabilities, equation, growth model,

This paper revisits the cross-country growth empirics debate using a novel Limited Information Bayesian Model Averaging framework to address model uncertainty in the context of a dynamic growth model in panel data...