This paper proposes a novel approach to measure and analyze the effect of temperature on electricity demand. This temperature effect is specified as a function of the density of temperatures observed at a high frequency with a functional coefficient, which we call the temperature response function. This approach contrasts with the usual approach to model the temperature effect as a function of ...

This paper considers estimation of slope coe¢ cients in large panel data models where even after conditioning on common observed e¤ects the cross section units might remain dependently distributed. This could arise when the cross section units are subject to unobserved common e¤ects and/or if there are spill over e¤ects due to spatial or other forms of local dependencies. Initially it focuses o...

abstract this study uses annual data over the period 2005-2014 and the panel vecm approach to examine financial inclusion and monetary policy effectiveness in africa. the study shows that financial inclusion and monetary policy effectiveness are linked by a set of long-run relationships. policy reaction to the positive financial inclusion shock is not significant. policy reaction to the positiv...

This paper studies the asymptotic power for the sphericity test in a fixed effect panel data model proposed by Baltagi, Feng and Kao (2011), (JBFK). This is done under the alternative hypotheses of weak and strong factors. By weak factors, we mean that the Euclidean norm of the vector of the factor loadings is O(1). By strong factors, we mean that the Euclidean norm of the vector of factor load...

We apply bootstrap methodology to unit root tests for dependent panels with N cross-sectional units and T time series observations. More speci cally, we let each panel be driven by a general linear process which may be di erent across crosssectional units, and approximate it by a nite order autoregressive integrated process of order increasing with T . As we allow the dependency among the innov...

This paper presents alternative models of behavior of the Argentine gasoline market and applies parametric estimations to analyze the effect that the Repsol-YPF merger had on that market. Using monthly data for the different provinces of Argentina during 1999, we make an evaluation of that effect. We conclude that we cannot reject the hypothesis that the market was a Cournot oligopoly before th...

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large models that can be cast in a linear state space representation. We build large vector autoregressions (VAR...

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989 and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This paper compares estimation performance for the impulse response coefficients based on a VAR approximation to this class of models ...

Abstract N owadays, conservation, maintenance and monitoring of natural resources according to estimated benefits and costs, plays an important role in economic growth and sustainable development. Economic development along with environmental protection, while preserving economic competitiveness by providing eco-friendly technologies, will prevent of loss and waste of environmental r...

This paper investigates the impact of stock markets and banks on economic growth using a panel data set for the period 1976-98 and applying recent GMM techniques developed for dynamic panels. Econometrically, the paper illustrates the differences that emerge from different panel procedures. On balance, we find that stock markets and banks positively influence economic growth and these findings ...