We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel counterpart to the univariate RURS test that relies on counting extrema in time series. All methods are applied to an empirical data set on tourism in Austri...

Disability and Multi-State Labour Force Choices with State Dependence I use a dynamic mixed multinomial logit model with unobserved heterogeneity to study the impact of work limiting disabilities on disaggregated labour choices. The first seven waves of the Household Income and Labour Dynamics in Australia survey are used to investigate this relationship. Findings point out to strong state depe...

In this paper we investigate whether macroeconomic uncertainty could distort banks’ allocation of loanable funds. To provide a road– map for our empirical investigation, we present a simple framework which demonstrates that lower uncertainty about the return from lending should lead to a more unequal distribution of lending across banks as managers take advantage of more precise knowledge of di...

This article provides a selective review on the recent developments of some nonlinear nonparametric and semiparametric panel data models. In particular, we focus on two types of modelling frameworks: nonparametric and semiparametric panel data models with deterministic trends, and semiparametric single-index panel data models with individual effects. We also review various estimation methodolog...

To specify demand in most water allocation problems, researchers face a tradeoff between flexibility and parsimony. Flexible forms are less constraining on elasticity estimates, but require large parameter sets that tend to cause poor out-of-sample forecasts and computational difficulties. Using a five-year panel of Texas municipalities, the parsimonious Stone-Geary form yields estimated demand...

Aggregated qualitative survey data provide timely, but often imperfect, macroeconomic indicators. Exploiting a unique panel dataset for the UK, which contains matched firm-level responses from both qualitative and quantitative surveys, we find that firms’ responses are influenced not only by their own current and past output and lagged qualitative responses but also by an indicator of aggregate...

We propose a framework to estimate earnings distributions and worker and firm unobserved heterogeneity on matched panel data. We introduce two models: a static model that allows for interaction effects between workers and firms, and a dynamic model that allows in addition for Markovian dynamics in earnings and mobility decisions. We establish identification in short panels. We develop a tractab...

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of the transformed likelihood approach, whilst at the same time allows for observed factors (fixed or ran...

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of selection bias. Specifically, they propose a Wald test for the null hypothesis that there is no selection bias. Under rejection of the null hypothesis, the aut...

This paper tries to explore the asymptotic properties of maximum likelihood estimators for spatial dynamic panel data with fixed effects when both the number of time periods T and number of individuals n are large. When n is proportional to T or T is relatively large, the estimator is √ nT consistent and asymptotically normal; when n is relatively large, the estimator is consistent with the rat...