Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilization. It is estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment, and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labor supply, investment, preference, cost-push, and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle e uctuations in the euro area. Using the estimated model, we also analyze the output (real interest rate) gap, dee ned as the difference between the actual and model-based potential output (real interest rate). (JEL: E4, E5)

/pdf/an-estimated-dynamic-stochastic-general-equilibrium-model-of-3l2zkahrlo.pdf

An estimated dynamic stochastic general equilibrium model of the euro area

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimated with Bayesian techniques using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, cost-push and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle fluctuations in the euro area. Using the estimated model, the paper also analyses the output (real interest rate) gap, defined as the difference between the actual and model-based potential output (real interest rate).

An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35

Econometric policy evaluation: A critique

https://www.nber.org/system/files/working_papers/w8245/w8245.pdf

Does Financial Liberalization Spur Growth

A large number of European countries still cope with historically high unemployment rates. One line of research that has been followed to explain European unemployment and the differences among European countries is the impact labour market institutions. One important channel through which labour market institutions may affect unemployment is the responsiveness of wages to unemployment, commonly referred to as (real) wage flexibility. It has been shown that cross-country differences in labour market institutions can account for differences in wage flexibility, but there is not any consistent econometric work that explores the relationship between changes in labour market institutions and wage flexibility over time within countries. This is the issue addressed in this paper. Wage flexibility is defined as the coefficient on unemployment in a ‘bargaining-augmented’ wage equation, explaining (real) wage growth. We investigate the role of unemployment benefits in determining the degree of (real) wage flexibility. To this end we estimated a wage equation in a time-varying parameter framework for five core EMU countries. In Italy the unemployment benefit system is very limited. For the four other countries, the results show that, except for Belgium, wage flexibility is not related in a significant way to the generosity of the unemployment benefit system. This insight runs counter to the conclusions offered by cross-section studies. We therefore tentatively conclude that we should not be too optimistic about the effect of reform of the unemployment benefit system on wage flexibility and that such reform – in order to be really effective– should be radical.

The unemployment benefit system and wage flexibility in EMU: time-varying evidence in five countries

The works to double the capacity of the Panama Canal were completed in 2016. This may have significant implications on the maritime flows of goods, both locally and on international shippin...

The impact of the expanded Panama Canal on port range choice for cargo flows from the U.S. to Europe

Predicting the future : how to estimate future demand for port throughput and infrastructure use

Transport modes and systems

This study examines the competitive conditions of the Containerized Liner Shipping Industry (CLSI). The degree of competition prevailing in this industry will be assessed using the Panzar and Rosse H-statistic. The properties of this non-structural methodology (e.g. using firm level data, robustness in small samples, no need to specify a relevant market, etc.) make it an excellent framework for assessing the degree of competition in the CLSI. The empirical specifications are based on an unbalanced panel of data regarding a sample of 18 major liner operators covering the period 1999 to 2008. A significantly positive unscaled value of the H-statistic has been found. This means that the hypothesis can be rejected that the CLSI market structure corresponds to a neoclassical monopoly, a collusive oligopoly or a conjectural variations short-run oligopoly.

A non-structural test for competition in the container liner shipping industry

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