Real equilibrium exchange rates. A panel data approach for advanced and emerging economies.

Based on an behavioral equilibrium exchange rate model, this paper examines the determinants of the real effective exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration setting, we estimate the relationship between exchange rate and a set of economic fundamentals, such as traded-nontraded productivity differentials and the stock of foreign assets. Having ascertained the variables are integrated and cointegrated, the long-run equilibrium value of the fundamentals are estimated and used to derive equilibrium exchange rates and misalignments. Although there is statistical homogeneity, some structural differences were found to exist between advanced and emerging economies.

Measuring and explaining farm inefficiency in a panel data set of mixed farms

This paper aims to estimate a translog stochastic frontier production function in the analysis of a panel of 150 mixed Catalan farms in the period 1989-1993, in order to attempt to measure and explain variation in technical inefficiency scores with a one-stage approach. The model uses gross value added as the output aggregate measure. Total employment, fixed capital, current assets, specific costs and overhead costs are introduced into the model as inputs. Stochasticfrontier estimates are compared with those obtained using a linear programming method using a two-stage approach. The specification of the translog stochastic frontier model appears as an appropriate representation of the data, technical change was rejected and the technical inefficiency effects were statistically significant. The mean technical efficiency in the period analyzed was estimated to be 64.0%. Farm inefficiency levels were found significantly at 5%level and positively correlated with the number of economic size units.

Univariate versus multivariate modeling of panel data

Panel data can be arranged into a matrix in two ways, called 'long' and 'wide' formats (LFand WF). The two formats suggest two alternative model approaches for analyzing paneldata: (i) univariate regression with varying intercept; and (ii) multivariate regression withlatent variables (a particular case of structural equation model, SEM). The present papercompares the two approaches showing in which circumstances they yield equivalent?insome cases, even numerically equal?results. We show that the univariate approach givesresults equivalent to the multivariate approach when restrictions of time invariance (inthe paper, the TI assumption) are imposed on the parameters of the multivariate model.It is shown that the restrictions implicit in the univariate approach can be assessed bychi-square difference testing of two nested multivariate models. In addition, commontests encountered in the econometric analysis of panel data, such as the Hausman test, areshown to have an equivalent representation as chi-square difference tests. Commonalitiesand differences between the univariate and multivariate approaches are illustrated usingan empirical panel data set of firms' profitability as well as a simulated panel data.

A panel data analysis of FDI and informal labor markets

The objective of this paper is to examine whether informal labor markets affect the flows of Foreign Direct Investment (FDI), and also whether this effect is similar in developed and developing countries. With this aim, different public data sources, such as the World Bank (WB), and the United Nations Conference on Trade and Development (UNCTAD) are used, and panel econometric models are estimated for a sample of 65 countries over a 14 year period (1996-2009). In addition, this paper uses a dynamic model as an extension of the analysis to establish whether such an effect exists and what its indicators and significance may be.

A panel data analysis of FDI and informal labor markets

The objective of this paper is to examine whether informal labor markets affect the flows of Foreign Direct Investment (FDI), and also whether this effect is similar in developed and developing countries. With this aim, different public data sources, such as the World Bank (WB), and the United Nations Conference on Trade and Development (UNCTAD) are used, and panel econometric models are estimated for a sample of 65 countries over a 14 year period (1996-2009). In addition, this paper uses a dynamic model as an extension of the analysis to establish whether such an effect exists and what its indicators and significance may be.

The Impact of Industry Collaboration on Academic Research Output: A Dynamic Panel Data Analysis

The aim of this paper is to analyse the impact of university knowledge and technology transfer activities on academic research output. Specifically, we study whether researchers with collaborative links with the private sector publish less than their peers without such links, once controlling for other sources of heterogeneity. We report findings from a longitudinal dataset on researchers from two engineering departments in the UK between 1985 until 2006. Our results indicate that researchers with industrial links publish significantly more than their peers. Academic productivity, though, is higher for low levels of industry involvement as compared to high levels.

It's still 2%: evidence on convergence from 116 years of the US States panel data

A new debate over the speed of convergence in per capita income across economies is going on. Cross sectional estimates support the idea of slow convergence of about two percent per year. Panel data estimates support the idea of fast convergence of five, ten or even twenty percent per year. This paper shows that, if you ``do it right'', even the panel data estimation method yields the result of slow convergence of about two percent per year.

Causes of subcontracting: Evidence from panel data on construction firms

This paper examines factors explaining subcontracting decisions in the construction industry. Rather than the more common cross-sectional analyses, we use panel data to evaluate the influence of all relevant variables. We design and use a new index of the closeness to small numbers situations to estimate the extent of hold-up problems. Results show that as specificity grows, firms tend to subcontract less. The opposite happens when output heterogeneity and the use of intangible assets and capabilities increase. Neither temporary shortage of capacity nor geographical dispersion of activities seem to affect the extent of subcontracting. Finally, proxies for uncertainty do not show any clear effect.

Convergence in panel data: Evidence from the skipping estimation

This paper demonstrates that, unlike what the conventional wisdom says, measurement error biases in panel data estimation of convergence using OLS with fixed effects are huge, not trivial. It does so by way of the "skipping estimation"': taking data from every m years of the sample (where m is an integer greater than or equal to 2), as opposed to every single year. It is shown that the estimated speed of convergence from the OLS with fixed effects is biased upwards by as much as 7 to 15%.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Testing for multicointegration in panel data with common factors

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis. The paper also deals with the issue of cross-section dependence using approximate common factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating inventories, sales and production relationship for a panel of US industries.

Testing for multicointegration in panel data with common factors

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis. The paper also deals with the issue of cross-section dependence using approximate common factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating inventories, sales and production relationship for a panel of US industries.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Combined use of the GGSFT data base and on Board Marine Collected Data to Model the Moho Beneath the Powell Basin, Antarctica

The Powell Basin is a small oceanic basin located at the NE end of the Antarctic Peninsula developed during the Early Miocene and mostly surrounded by the continental crusts of the South Orkney Microcontinent, South Scotia Ridge and Antarctic Peninsula margins. Gravity data from the SCAN 97 cruise obtained with the R/V Hespérides and data from the Global Gravity Grid and Sea Floor Topography (GGSFT) database (Sandwell and Smith, 1997) are used to determine the 3D geometry of the crustal-mantle interface (CMI) by numerical inversion methods. Water layer contribution and sedimentary effects were eliminated from the Free Air anomaly to obtain the total anomaly. Sedimentary effects were obtained from the analysis of existing and new SCAN 97 multichannel seismic profiles (MCS). The regional anomaly was obtained after spectral and filtering processes. The smooth 3D geometry of the crustal mantle interface obtained after inversion of the regional anomaly shows an increase in the thickness of the crust towards the continental margins and a NW-SE oriented axis of symmetry coinciding with the position of an older oceanic spreading axis. This interface shows a moderate uplift towards the western part and depicts two main uplifts to the northern and eastern sectors.