Abstract I study score-driven models for modelling high persistence dependence between financial volatility series. I model this persistence dependence with two components, one for the long memory and the other for the short-term process. The addition of components offers a parsimonious solution for modelling high persistence and also allows for a short-term component for the transient shocks. I apply the model to emerging equities in the Americas. The estimates are robust to the advent of the pandemic. In addition, data resampling and marginal alternatives deliver similar parameter estimates. The proposed two-component model improves the in-sample diagnostics and generates more accurate out-of-sample forecasts.
{"title":"Modelling volatility dependence with score copula models","authors":"Willy Alanya-Beltran","doi":"10.1515/snde-2022-0006","DOIUrl":"https://doi.org/10.1515/snde-2022-0006","url":null,"abstract":"Abstract I study score-driven models for modelling high persistence dependence between financial volatility series. I model this persistence dependence with two components, one for the long memory and the other for the short-term process. The addition of components offers a parsimonious solution for modelling high persistence and also allows for a short-term component for the transient shocks. I apply the model to emerging equities in the Americas. The estimates are robust to the advent of the pandemic. In addition, data resampling and marginal alternatives deliver similar parameter estimates. The proposed two-component model improves the in-sample diagnostics and generates more accurate out-of-sample forecasts.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48556967","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This paper proposes a ridge-type method for determining the number of factors in an approximate factor model. The new estimator of factor number is obtained by maximizing both the ratio of two adjacent eigenvalues and the cumulative contribution rate of the factors which represents the explanatory power of the common factors for response variables. Our estimator is proved to be as asymptotically consistent as those in (Ahn, S., and A. Horenstein. 2013. “Eigenvalue Ratio Test for the Number of Factors.” Econometrica 81: 1203–27). But Monte Carlo simulation experiments show our method has better correct selection rates in finite sample cases. A real data example is given for illustration.
{"title":"On determination of the number of factors in an approximate factor model","authors":"Jinshan Liu, Jiazhu Pan, Qiang Xia, Li Xiao","doi":"10.1515/snde-2020-0055","DOIUrl":"https://doi.org/10.1515/snde-2020-0055","url":null,"abstract":"Abstract This paper proposes a ridge-type method for determining the number of factors in an approximate factor model. The new estimator of factor number is obtained by maximizing both the ratio of two adjacent eigenvalues and the cumulative contribution rate of the factors which represents the explanatory power of the common factors for response variables. Our estimator is proved to be as asymptotically consistent as those in (Ahn, S., and A. Horenstein. 2013. “Eigenvalue Ratio Test for the Number of Factors.” Econometrica 81: 1203–27). But Monte Carlo simulation experiments show our method has better correct selection rates in finite sample cases. A real data example is given for illustration.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"285 - 298"},"PeriodicalIF":0.8,"publicationDate":"2022-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48707179","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Mahdi Ghaemi Asl, G. Canarella, S. Miller, Hamid Reza Tavakkoli
Abstract We test for real interest rate parity using data from six European countries (France, Germany, Italy, the Netherlands, Spain, and the United Kingdom), Japan, and the United States over a period of more than two centuries. Our contribution is threefold. First, we implement a wavelet-based analysis, which examines both frequency and time information contained in a time series. Second, we employ the United States, the United Kingdom, and Germany as alternative base countries in the wavelet regressions to ascertain the sensitivity of the results to the choice of the base country. Third, we test the real interest rate parity over the entire period (1800–2018) and for several non-contiguous subperiods that hold historical significance and relative importance. Three subperiods link to the three globalization waves (1870–1914, 1944–1971, and 1989–2018), and four subperiods connect to the exchange rate regimes. The wavelet-based results suggest that the validity of the real interest rate parity is scale-dependent. The specific evidence in most cases supports the parity at lower frequencies but not at higher frequencies, which is consistent with the idea that the purchasing power parity and uncovered interest parity, the two main ingredients of the real interest rate parity, are mostly valid in the long run.
{"title":"Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective","authors":"Mahdi Ghaemi Asl, G. Canarella, S. Miller, Hamid Reza Tavakkoli","doi":"10.1515/snde-2021-0067","DOIUrl":"https://doi.org/10.1515/snde-2021-0067","url":null,"abstract":"Abstract We test for real interest rate parity using data from six European countries (France, Germany, Italy, the Netherlands, Spain, and the United Kingdom), Japan, and the United States over a period of more than two centuries. Our contribution is threefold. First, we implement a wavelet-based analysis, which examines both frequency and time information contained in a time series. Second, we employ the United States, the United Kingdom, and Germany as alternative base countries in the wavelet regressions to ascertain the sensitivity of the results to the choice of the base country. Third, we test the real interest rate parity over the entire period (1800–2018) and for several non-contiguous subperiods that hold historical significance and relative importance. Three subperiods link to the three globalization waves (1870–1914, 1944–1971, and 1989–2018), and four subperiods connect to the exchange rate regimes. The wavelet-based results suggest that the validity of the real interest rate parity is scale-dependent. The specific evidence in most cases supports the parity at lower frequencies but not at higher frequencies, which is consistent with the idea that the purchasing power parity and uncovered interest parity, the two main ingredients of the real interest rate parity, are mostly valid in the long run.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43040886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract In this paper, we develop a simple multi-technology overlapping generations model that exhibits a wide variety of economic development patterns. In particular, our numerical simulations demonstrate that for a given set of parameter values, various types of development patterns such as the middle-income trap, the poverty trap, periodic or chaotic fluctuations, and high-income paths can coexist, and which pattern is realized depends only on the initial value of capital. For another set of parameter values, we show that, due to the pinball effect, an economy starting at a middle-income level can take off to the high-income state or get caught in the poverty trap in a seemingly random way after undergoing transient chaotic motions. Our results can explain observed complicated patterns of economic development in a unified manner.
{"title":"Middle-income traps and complexity in economic development","authors":"Taka-aki Asano, Akihisa Shibata, M. Yokoo","doi":"10.1515/snde-2021-0100","DOIUrl":"https://doi.org/10.1515/snde-2021-0100","url":null,"abstract":"Abstract In this paper, we develop a simple multi-technology overlapping generations model that exhibits a wide variety of economic development patterns. In particular, our numerical simulations demonstrate that for a given set of parameter values, various types of development patterns such as the middle-income trap, the poverty trap, periodic or chaotic fluctuations, and high-income paths can coexist, and which pattern is realized depends only on the initial value of capital. For another set of parameter values, we show that, due to the pinball effect, an economy starting at a middle-income level can take off to the high-income state or get caught in the poverty trap in a seemingly random way after undergoing transient chaotic motions. Our results can explain observed complicated patterns of economic development in a unified manner.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44401956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract We study the importance of economic uncertainty so as to predict realized jumps (hereafter jumps) in the pound-dollar exchange rate. The empirical analysis covers the time period from February 1900 to May 2018 on a monthly basis, incorporating several market states, including various booms and crashes. First, we apply a standard linear Granger causality test in order to identify causal effects from economic uncertainty to jumps. We show that the standard linear Granger causality test fails to capture such casual effects. Providing the misspecification of the linear model, we next make use of a nonparametric causality-in-quantiles test. This test allows us to take into account the substantial evidence of nonlinearity along with the structural breaks between economic uncertainty and jumps. In applying this data-driven robust procedure, we find strong evidence of uncertainty causing jumps of the dollar-pound exchange rate. These results are robust over the entire conditional distribution of jumps, exhibiting the strongest impact at the lowest conditional quantiles considered. In addition, our results are generally found to be robust to alternative measures of uncertainty, jumps generated at a daily frequency based on shorter samples of intraday data, and across three other dollar-based exchange rates.
{"title":"Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data","authors":"Konstantinos Gkillas, Rangan Gupta, Dimitrios Vortelinos","doi":"10.1515/snde-2020-0083","DOIUrl":"https://doi.org/10.1515/snde-2020-0083","url":null,"abstract":"Abstract We study the importance of economic uncertainty so as to predict realized jumps (hereafter jumps) in the pound-dollar exchange rate. The empirical analysis covers the time period from February 1900 to May 2018 on a monthly basis, incorporating several market states, including various booms and crashes. First, we apply a standard linear Granger causality test in order to identify causal effects from economic uncertainty to jumps. We show that the standard linear Granger causality test fails to capture such casual effects. Providing the misspecification of the linear model, we next make use of a nonparametric causality-in-quantiles test. This test allows us to take into account the substantial evidence of nonlinearity along with the structural breaks between economic uncertainty and jumps. In applying this data-driven robust procedure, we find strong evidence of uncertainty causing jumps of the dollar-pound exchange rate. These results are robust over the entire conditional distribution of jumps, exhibiting the strongest impact at the lowest conditional quantiles considered. In addition, our results are generally found to be robust to alternative measures of uncertainty, jumps generated at a daily frequency based on shorter samples of intraday data, and across three other dollar-based exchange rates.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"25 - 47"},"PeriodicalIF":0.8,"publicationDate":"2022-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45559740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
I. Papantonis, Leonidas S. Rompolis, Elias Tzavalis, Orestis Agapitos
Abstract This paper extends the Realized-GARCH framework, by allowing the conditional variance equation to incorporate exogenous variables related to intra-day realized measures. The choice of these measures is motivated by the so-called heterogeneous auto-regressive (HAR) class of models. Our augmented model is found to outperform both the Realized-GARCH and the various HAR models in terms of in-sample fitting and out-of-sample forecasting accuracy. The new model specification is examined under alternative parametric density assumptions for the return innovations. Non-normality seems to be very important for filtering the return innovations to which variance responds and helps significantly upon the prediction performance of the suggested model.
{"title":"Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects","authors":"I. Papantonis, Leonidas S. Rompolis, Elias Tzavalis, Orestis Agapitos","doi":"10.1515/snde-2020-0131","DOIUrl":"https://doi.org/10.1515/snde-2020-0131","url":null,"abstract":"Abstract This paper extends the Realized-GARCH framework, by allowing the conditional variance equation to incorporate exogenous variables related to intra-day realized measures. The choice of these measures is motivated by the so-called heterogeneous auto-regressive (HAR) class of models. Our augmented model is found to outperform both the Realized-GARCH and the various HAR models in terms of in-sample fitting and out-of-sample forecasting accuracy. The new model specification is examined under alternative parametric density assumptions for the return innovations. Non-normality seems to be very important for filtering the return innovations to which variance responds and helps significantly upon the prediction performance of the suggested model.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"171 - 198"},"PeriodicalIF":0.8,"publicationDate":"2022-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45905589","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract In this paper, statistical and volatility forecasting performances of the non-path-dependent score-driven multi-regime Markov-switching (MS) exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models are explored. Three contributions to the existing literature are provided. First, we use all relevant score-driven distributions from the literature - namely, the Student’s t-distribution, general error distribution (GED), skewed generalized t-distribution (Skew-Gen-t), exponential generalized beta distribution of the second kind (EGB2), and normal-inverse Gaussian (NIG) distribution. We then introduce the score-driven Meixner (MXN) distribution-based EGARCH model to the literature on score-driven models. Second, proving the sufficient conditions of the asymptotic properties of the maximum likelihood (ML) estimator for non-path-dependent score-driven MS-EGARCH models is an unsolved problem. We provide a partial solution to that problem by proving necessary conditions for the asymptotic theory of the ML estimator. Third, to the best of our knowledge, this work includes the largest number of international stock indices from the G20 countries in the literature, covering the period of 2000–2022. We provide a discussion on the major events which caused common or non-common switching to the high-volatility regime for the G20 countries. The statistical performance and volatility forecasting results support the adoption of score-driven MS-EGARCH for the G20 countries.
{"title":"Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution","authors":"Szabolcs Blazsek, M. Haddad","doi":"10.1515/snde-2021-0101","DOIUrl":"https://doi.org/10.1515/snde-2021-0101","url":null,"abstract":"Abstract In this paper, statistical and volatility forecasting performances of the non-path-dependent score-driven multi-regime Markov-switching (MS) exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models are explored. Three contributions to the existing literature are provided. First, we use all relevant score-driven distributions from the literature - namely, the Student’s t-distribution, general error distribution (GED), skewed generalized t-distribution (Skew-Gen-t), exponential generalized beta distribution of the second kind (EGB2), and normal-inverse Gaussian (NIG) distribution. We then introduce the score-driven Meixner (MXN) distribution-based EGARCH model to the literature on score-driven models. Second, proving the sufficient conditions of the asymptotic properties of the maximum likelihood (ML) estimator for non-path-dependent score-driven MS-EGARCH models is an unsolved problem. We provide a partial solution to that problem by proving necessary conditions for the asymptotic theory of the ML estimator. Third, to the best of our knowledge, this work includes the largest number of international stock indices from the G20 countries in the literature, covering the period of 2000–2022. We provide a discussion on the major events which caused common or non-common switching to the high-volatility regime for the G20 countries. The statistical performance and volatility forecasting results support the adoption of score-driven MS-EGARCH for the G20 countries.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2022-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47371848","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pejman Bahramian, Andisheh Saliminezhad, Sami Fethi
Abstract Assessing the causal relationships between clean energy consumption and economic growth in China, a central actor in the world’s climate future, have received considerable attention among scholars. However, due to the lack of methodological rigour in the causality analysis, available literature failed to provide solid inferences on the links between the variables. Therefore, this study aims to re-examine the variables’ dynamic linkages with a more well-established approach from 1965 to 2020. We use a time-varying framework that relaxes the assumption of parameter stability, a remarkable feature that distinguishes our paper from the previous studies. Utilizing the conventional Granger causality test, we fail to detect causation between the variables. However, the evidence of substantial time variation in the causal relationships implies that the standard framework’s inference is unreliable. The findings of our time-varying analysis indicate different forms of causality flows in various subperiods. This can be a dependable reason for China to follow its enhanced carbon neutrality target safely. The results of our study also emphasize the significance of considering time-varying causality tests to avoid the risk of misleading inferences.
{"title":"Clean energy consumption and economic growth in China: a time-varying analysis","authors":"Pejman Bahramian, Andisheh Saliminezhad, Sami Fethi","doi":"10.1515/snde-2020-0136","DOIUrl":"https://doi.org/10.1515/snde-2020-0136","url":null,"abstract":"Abstract Assessing the causal relationships between clean energy consumption and economic growth in China, a central actor in the world’s climate future, have received considerable attention among scholars. However, due to the lack of methodological rigour in the causality analysis, available literature failed to provide solid inferences on the links between the variables. Therefore, this study aims to re-examine the variables’ dynamic linkages with a more well-established approach from 1965 to 2020. We use a time-varying framework that relaxes the assumption of parameter stability, a remarkable feature that distinguishes our paper from the previous studies. Utilizing the conventional Granger causality test, we fail to detect causation between the variables. However, the evidence of substantial time variation in the causal relationships implies that the standard framework’s inference is unreliable. The findings of our time-varying analysis indicate different forms of causality flows in various subperiods. This can be a dependable reason for China to follow its enhanced carbon neutrality target safely. The results of our study also emphasize the significance of considering time-varying causality tests to avoid the risk of misleading inferences.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"299 - 313"},"PeriodicalIF":0.8,"publicationDate":"2022-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42927486","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Most previous studies that examined the relationship between the size of shadow economy and the pillars of sustainable development maintained that this relationship is linear. This paper provides an empirical contribution to the literature by arguing that this relationship is likely to be nonlinear, and it might be subject to threshold effects. For this purpose, in addition to the static threshold panel model of Hansen (1999. “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference.” Journal of Econometrics 93 (2): 345–68), the dynamic panel threshold model suggested by Seo and Shin (2016. “Dynamic Panels with Threshold Effect and Endogeneity.” Journal of Econometrics 195 (2): 169–86) has been applied to a larger panel-data set covering 83 developed and developing countries over the 1996–2017 period. Empirical results from both models yield evidence advocating the existence of threshold effects of the shadow economy on the economic, social, and environmental dimensions of sustainable development for the global sample as well as the sub-samples of developed and developing countries. Moreover, for the global sample and developing countries, our findings show that shadow economy would spoil the three sustainable development pillars only when its size exceeds a certain threshold critical size. While, the impact for developed countries was found negative even for low levels of underground activities. These finding are shown to be robust to alternative proxies for the size of the shadow economy and have important policy implications, especially for developing countries. In these countries, a moderate size of the shadow economy might have positive spillovers on long-term growth and sustainable development. Our research also suggests that, for developing and developed countries to achieve sustainable goal 8.3, the extent of the shadow activities should be taken into account.
{"title":"On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis","authors":"Sami Saafi, Ridha Nouira, Nadia Assidi","doi":"10.1515/snde-2021-0099","DOIUrl":"https://doi.org/10.1515/snde-2021-0099","url":null,"abstract":"Abstract Most previous studies that examined the relationship between the size of shadow economy and the pillars of sustainable development maintained that this relationship is linear. This paper provides an empirical contribution to the literature by arguing that this relationship is likely to be nonlinear, and it might be subject to threshold effects. For this purpose, in addition to the static threshold panel model of Hansen (1999. “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference.” Journal of Econometrics 93 (2): 345–68), the dynamic panel threshold model suggested by Seo and Shin (2016. “Dynamic Panels with Threshold Effect and Endogeneity.” Journal of Econometrics 195 (2): 169–86) has been applied to a larger panel-data set covering 83 developed and developing countries over the 1996–2017 period. Empirical results from both models yield evidence advocating the existence of threshold effects of the shadow economy on the economic, social, and environmental dimensions of sustainable development for the global sample as well as the sub-samples of developed and developing countries. Moreover, for the global sample and developing countries, our findings show that shadow economy would spoil the three sustainable development pillars only when its size exceeds a certain threshold critical size. While, the impact for developed countries was found negative even for low levels of underground activities. These finding are shown to be robust to alternative proxies for the size of the shadow economy and have important policy implications, especially for developing countries. In these countries, a moderate size of the shadow economy might have positive spillovers on long-term growth and sustainable development. Our research also suggests that, for developing and developed countries to achieve sustainable goal 8.3, the extent of the shadow activities should be taken into account.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"355 - 375"},"PeriodicalIF":0.8,"publicationDate":"2022-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49218688","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract We develop threshold estimation methods for panel data models with two threshold variables and individual fixed specific effects covering short time periods. In the static panel data model, we propose least squares estimation of the threshold and regression slopes using fixed effects transformations; while in the dynamic panel data model, we propose maximum likelihood estimation of the threshold and slope parameters using first difference transformations. In both models, we propose to estimate the threshold parameters sequentially. We apply the methods to a 15-year sample of 565 U.S. firms to test whether financial constraints affect investment decisions.
{"title":"Panel data models with two threshold variables","authors":"Arturo Lamadrid-Contreras, N. Ramírez-Rondán","doi":"10.1515/snde-2020-0048","DOIUrl":"https://doi.org/10.1515/snde-2020-0048","url":null,"abstract":"Abstract We develop threshold estimation methods for panel data models with two threshold variables and individual fixed specific effects covering short time periods. In the static panel data model, we propose least squares estimation of the threshold and regression slopes using fixed effects transformations; while in the dynamic panel data model, we propose maximum likelihood estimation of the threshold and slope parameters using first difference transformations. In both models, we propose to estimate the threshold parameters sequentially. We apply the methods to a 15-year sample of 565 U.S. firms to test whether financial constraints affect investment decisions.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"315 - 333"},"PeriodicalIF":0.8,"publicationDate":"2022-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43057610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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