We propose a simple but effective estimation procedure to extract the level and the volatility dynamics of a latent macroeconomic factor from a panel of observable indicators. Our approach is based on a multivariate conditionally heteroskedastic exact factor model that can take into account the heteroskedasticity feature shown by most macroeconomic variables and relies on an iterated Kalman fil...

This paper proposes a quantile regression estimator for a panel data model with interactive effects potentially correlated with the independent variables. We provide conditions under which the slope parameter estimator is asymptotically Gaussian. Monte Carlo studies are carried out to investigate the finite sample performance of the proposed method in comparison with other candidate methods. Th...

This paper examines the validity of purchasing power parity (PPP) using CPI and Big Mac prices. The benchmark model, i.e., the OLS method, which does not take nonstationarity into account, rejects the hypothesis of PPP regardless of prices used. We next use the panel cointegration method to consider the nonstationary nature of variables. Estimated results for CPI are mixed. The PPP is rejected ...

Parents Transmit Happiness along with Associated Values and Behaviors to Their Children: A Lifelong Happiness Dividend? There are strong two-way links between parent and child happiness (life satisfaction), even for ‘children’ who have grown up, moved to their own home and partnered themselves. German panel evidence shows that transmission of (un)happiness from parents to children is partly due...

This paper examines the relationship between various types of corn research and development (R&D) and corn prices in the United States through a fixed effects panel data model. This research explores R&D investment from both nonprofit and for-profit institutions and the effect these have corn prices. In addition, we look at the effect that corresponding exogenous changes in corn prices have on ...

This paper examines the effect of lifelong learning on men’s employment and wages. Using data from the British Household Panel Survey, a variant of the mover-stayer model is developed in which hourly wages are either taken from a stationary distribution (movers) or are closely related to the hourly wage one year earlier (stayers). Mover-stayer status is not observed and we therefore model wages...

In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specified. We adopt a supremum Wald type test to account for the so-called Davies problem. The asymptotic null distributions...

We investigate the long-term equilibrium relationship between Australian dollar bonds of different credit quality. Contrary to the expectations hypothesis we find the yields of Eurobonds are not cointegrated with the equivalent maturity Government bond. Nevertheless, the results suggest that the yields of the different risk classes of Eurobonds are cointegrated with one another, with the higher...

This paper investigates the nature of the causal relationship between stock prices and macroeconomic aggregates in the foreign sector in India. By applying the techniques of unit–root tests, cointegration and the long–run Granger non–causality test recently proposed by Toda and Yamamoto (1995), we test the causal relationships between the BSE Sensitive Index and the three macroeconomic variable...

This paper examines the association between government ownership and bank stability over 1997-2010 across a sample of 103 countries. With a continuous variable to proxy for government ownership, our system GMM estimates indicate that the association between government ownership and bank stability depends on a country’s economic development and regulatory quality. In developed, high income count...