We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest to estimate the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods. We discu...

Smoking Persistence Across Countries: An Analysis Using Semi-Parametric Dynamic Panel Data Models with Selectivity We study smoking persistence in ten countries using data from the European Community Household Panel. Such persistence may be due to true state dependence but may also reflect individual unobserved heterogeneity. We distinguish between the two by using semiparametric dynamic panel ...

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...

This paper proposes a test for the null of sphericity in a …xed e¤ects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for the null of sphericity of the error terms in a …xed e¤ects panel model with a large number of cross-sectional units and time series observations. Since the errors are unobservable, the residuals from the …xed e¤ects regres...

This paper assesses the impact of product market competition on job instability. Product market competition is measured by the price-cost margin, and job instability is proxied by the intensity of the use of temporary contracts. Using both worker data from the Spanish Labor Force Survey and …rm data from the Spanish Business Strategies Survey, I show that job instability rises with competition....

Health Care Expenditure and Income in the OECD Reconsidered: Evidence from Panel Data This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income. This is done in...

This paper develops a new framework and statistical tools to analyze stock returns using high frequency data. We consider a continuous-time multi-factor model via a continuous-time multivariate regression incorporating realistic empirical features, such as persistent stochastic volatilities with leverage effects. We find that conventional regression approach often leads to misleading and incons...

In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogoff (The Journal of Finance 43 (1988) 933) monetary approach as extended by MacDonald (Journal of International Financial Markets, Institutions and Money 8 (1998) 117). The applied econom...

In this paper we develop a dynamic discrete-time bivariate probit model, in which the conditions for Granger non-causality can be represented and tested. The conditions for simultaneous independence are also worked out. The model is extended in order to allow for covariates, representing individual as well as time heterogeneity. The proposed model can be estimated by Maximum Likelihood. Granger...

A multi-product cost model is estimated on a panel of U.S. local exchange carriers from the period 1989–1999. The model allows specification of cost inefficiency to avoid potential bias in the estimates. Unlike earlier research, the paper experiments with several proxies of the carriers’ access provision. The results show slight economies of scale and density with moderate cost increments due t...