Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classification on the basis of n individual (univariate) unit root tests based on some ad hoc significance level. In this paper, we demonstrate how to use the false discovery rate (FDR) in evaluating I(1)=I(0) classifications based on individual unit root tests when the size of the cross section (n) and time series (T) dimensions are large. We report results from a simulation experiment and illustrate the methods on two data sets.

Sostenibilidad fiscal: una aproximación con datos panel para 8 países Latinoaméricanos

Este documento examina la hipótesis de sostenibilidad fiscal para 8 países de Latinoamérica. A partir de un modelo de datos panel, se determina si los ingresos y gasto primario de los Gobiernos entre 1960 - 2009 están cointegrados, es decir, si son sostenibles a largo plazo. Para esto, se utilizaron pruebas de raíz unitaria y cointegración de segunda generación con datos panel macroeconómicos, lo que permite tener en cuenta la dependencia cruzada entre los países, así como los posibles quiebres estructurales en la relación que estén determinados de manera endógena; en particular, se usan la prueba de estacionariedad de Hadri y Rao (2008) y la prueba de cointegración de Westerlund (2006). Como resultado del análisis se encontró evidencia empírica de que en el período bajo estudio el déficit primario en los 8 países latinoamericanos es sostenible pero en sentido débil.

De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Salud y crecimiento económico: un modelo de generaciones traslapadas, expectativa de vida endógena y capital humano

Este trabajo desarrolla un modelo de generaciones traslapadas con expectativa de vida endógena y capital humano. Recoge parte de la evidencia empírica acerca de la transición demográfica explicada por Notestein en 1945, donde variaciones en la longevidad de los individuos afectan positivamente el crecimiento económico de un país. El modelo establece que la falta de incentivos para invertir en salud estanca a una economía en una trampa de pobreza y muestra que incrementos en la productividad en el sector de producción de capital humano, al igual que cambios tecnológicos sesgados al uso intensivo del mismo, incrementan el producto de estado estacionario y pueden sacar a una economía de una trampa de pobreza.

Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Bias from farmer self-selection in genetically modified crop productivity estimates: Evidence from Indian data

In the continuing debate over the impact of genetically modified (GM) crops on farmers of developing countries, it is important to accurately measure magnitudes such as farm-level yield gains from GM crop adoption. Yet most farm-level studies in the literature do not control for farmer self-selection, a potentially important source of bias in such estimates. We use farm-level panel data from Indian cotton farmers to investigate the yield effect of GM insect-resistant cotton. We explicitly take into account the fact that the choice of crop variety is an endogenous variable which might lead to bias from self-selection. A production function is estimated using a fixed-effects model to control for selection bias. Our results show that efficient farmers adopt Bacillus thuringiensis (Bt) cotton at a higher rate than their less efficient peers. This suggests that cross-sectional estimates of the yield effect of Bt cotton, which do not control for self-selection effects, are likely to be biased upwards. However, after controlling for selection bias, we still find that there is a significant positive yield effect from adoption of Bt cotton that more than offsets the additional cost of Bt seed.

Bias from farmer self-selection in genetically modified crop productivity estimates: Evidence from Indian data

In the continuing debate over the impact of genetically modified (GM) crops on farmers of developing countries, it is important to accurately measure magnitudes such as farm-level yield gains from GM crop adoption. Yet most farm-level studies in the literature do not control for farmer self-selection, a potentially important source of bias in such estimates. We use farm-level panel data from Indian cotton farmers to investigate the yield effect of GM insect-resistant cotton. We explicitly take into account the fact that the choice of crop variety is an endogenous variable which might lead to bias from self-selection. A production function is estimated using a fixed-effects model to control for selection bias. Our results show that efficient farmers adopt Bacillus thuringiensis (Bt) cotton at a higher rate than their less efficient peers. This suggests that cross-sectional estimates of the yield effect of Bt cotton, which do not control for self-selection effects, are likely to be biased upwards. However, after controlling for selection bias, we still find that there is a significant positive yield effect from adoption of Bt cotton that more than offsets the additional cost of Bt seed.

Data management for the ocean sciences - perspectives for the next decade

There is remarkable agreement in expectations today for vastly improved ocean data management a decade from now -- capabilities that will help to bring significant benefits to ocean research and to society. Advancing data management to such a degree, however, will require cultural and policy changes that are slow to effect. The technological foundations upon which data management systems are built are certain to continue advancing rapidly in parallel. These considerations argue for adopting attitudes of pragmatism and realism when planning data management strategies. In this paper we adopt those attitudes as we outline opportunities for progress in ocean data management. We begin with a synopsis of expectations for integrated ocean data management a decade from now. We discuss factors that should be considered by those evaluating candidate “standards”. We highlight challenges and opportunities in a number of technical areas, including “Web 2.0” applications, data modeling, data discovery and metadata, real-time operational data, archival of data, biological data management and satellite data management. We discuss the importance of investments in the development of software toolkits to accelerate progress. We conclude the paper by recommending a few specific, short term targets for implementation, that we believe to be both significant and achievable, and calling for action by community leadership to effect these advancements.

Adaptive modelling, estimation and fusion from data: a neurofuzzy approach

In a world of almost permanent and rapidly increasing electronic data availability, techniques of filtering, compressing, and interpreting this data to transform it into valuable and easily comprehensible information is of utmost importance. One key topic in this area is the capability to deduce future system behavior from a given data input. This book brings together for the first time the complete theory of data-based neurofuzzy modelling and the linguistic attributes of fuzzy logic in a single cohesive mathematical framework. After introducing the basic theory of data-based modelling, new concepts including extended additive and multiplicative submodels are developed and their extensions to state estimation and data fusion are derived. All these algorithms are illustrated with benchmark and real-life examples to demonstrate their efficiency. Chris Harris and his group have carried out pioneering work which has tied together the fields of neural networks and linguistic rule-based algortihms. This book is aimed at researchers and scientists in time series modeling, empirical data modeling, knowledge discovery, data mining, and data fusion.

A functional coefficient model view of the Feldstein–Horioka puzzle

What does the saving–investment (SI) relation really measure and how should the SI relation be measured? These are two of the most discussed issues triggered by the so-called Feldstein–Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allows to separate long and short to medium run parameter dependence. The new modeling framework is applied to uncover the determinants of the SI relation. Macroeconomic state variables such as openness, the age dependency ratio, government current and consumption expenditures are found to affect the SI relation significantly in the long run.

CO2 Emissions, GDP and trade : a panel cointegration approach

This paper examines the relationships among per capita CO2 emissions, per capita GDP and international trade based on panel data sets spanning the period 1960-2008: one for 150 countries and the others for sub-samples comprising OECD and Non-OECD economies. We apply panel unit root and cointegration tests, and estimate a panel error correction model. The results from the error correction model suggest that there are long-term relationships between the variables for the whole sample and for Non-OECD countries. Finally, Granger causality tests show that there is bi-directional short-term causality between per capita GDP and international trade for the whole sample and between per capita GDP and CO2 emissions for OECD countries

Using Spatiotemporal Methods to Fill Gaps In Energy Usage Interval Data

Researchers analyzing spatiotemporal or panel data, which varies both in location and over time, often find that their data has holes or gaps. This thesis explores alternative methods for filling those gaps and also suggests a set of techniques for evaluating those gap-filling methods to determine which works best.

Una revisión crítica de los métodos de series de tiempo y de datos de panel aplicados al caso de la hipótesis de export-led growth

Incluye Bibliografía

Reliabilität von retrospektiven Berufsverlaufsdaten. Ein Vergleich zwischen dem öffentlichen Dienst und der Privatwirtschaft anhand von Panel-Daten

Im vorliegenden Beitrag wird die Zuverlässigkeit retrospektiver Angaben der Befragten zu beruflichen Tätigkeiten in ihrem Berufsverlauf untersucht. Insbesondere ist ausgehend von einem Befund von De Graaf und Wegener (1989) zu klären, ob generell Beschäftigte des öffentlichen Dienstes ihren Berufsverlauf unzuverlässiger erinnern als Staatsbeschäftigte. Es wird davon ausgegangen, dass gerade Beamte aufgrund der institutionellen Besonderheiten ihrer Beschäftigung größere Schwierigkeiten haben, ihren Berufsverlauf konsistent zu rekonstruieren als andere Befragte. Empirische Analysen von Panel-Daten erhärten diese Vermutung, was die Anzahl der beruflichen Tätigkeiten anbelangt. Jedoch machen Beamte zu anderen Attributen ihres Berufsverlaufs ebenso zuverlässige Angaben wie andere Befragte auch. Diese beamtenspezifischen Erinnerungsprobleme sind bei zukünftigen Erhebungen mittels ereignisorientierter Befragungsinstrumente zu berücksichtigen.

No sports – no mental health? Analysis of longitudinal effects in SHP data.

Results from the Zurich study have shown lasting associations between sport practice and mental health. The effects are pronounced in people with pre-exising mental health problems. This analysis aims to replicate these results with the large Swiss Household Panel data set and to provide more differentiated results. The analysis covered the interviews 1999-2003 and included 3891 stayers, i.e., participants who were interviewed in all years. The outcome variables are depression / blues / anxiety, weakness / weariness, sleeping problems, energy / optimism. Confounding variables include sex, age, education level, citizenship. The analyses were carried out with mixed models (depression, optimism) and GEE models (weakness, sleep). About 60% of the SHP participants practise weekly or daily an individual or a team sport. A similar proportion enjoys a frequent physical activity (for half an hour minimum) which makes oneself slightly breathless. There are slight age-specific differences but also noteworthy regional differences. Practice of sport is clearly interrelated with self-reported depressive symptoms, optimism and weakness. This applies even though some relevant confounders – sex, educational level and citizenship – were introduced into the model. However, no relevant interaction effects with time could be shown. Moreover, direct interrelations commonly led to better fits than models with lagged variables, thus indicating that delayed effects of sport practice on the self-reported psychological complaints are less important. Model variants resulted for specific subgroups, for example, participants with a high vs. low initial activity level. Lack of sport practice is an interesting marker for serious psychological symptoms and mental disorders. The background of this association may differ in different subgroups, and should stimulate further investigations in this area.