Smooth transition pollution-income paths
|
|
- Chad Rose
- 6 years ago
- Views:
Transcription
1 Smooth transion pollution-income paths Nektarios Aslanidis and Anastasios Xepapadeas Universy of Crete Department of Economics Universy Campus 74 00, Rethymno Greece September, 004 Abstract We explore the idea of regime swching as a new methodological approach in the analysis of the emission-income relationship. A static smooth transion regression model wh fixed-effects is developed. The basic idea is that when some threshold is passed, the economy could move smoothly to another regime, wh the emission-income relationship being different between the old and the new regime. We justify our methodology by proving that the quadratic or cubic polynomial model used in the lerature derives from the smooth transion regression specification. The methodology is applied to a panel dataset of US state-level sulfur dioxide and nrogen oxide emissions covering 48 states over the period We find robust smooth N-shaped and smooth inverse-vshaped pollution-income paths for the sulfur dioxide. For the nrogen oxide emissions, environmental pressure tends to rise wh economic growth in the early stages of economic development, then slows down but does not decline wh further income growth. Keywords: Environmental Kuznets Curve, smooth transion regression, regime swching, thresholds. JEL Classification: C, O, Q.
2 . Introduction In the analysis of the emission-income relationship, there exists a set of theoretical models, which derives inverted V-shaped curves by having pollution increasing wh income until some threshold point is passed, after which pollution is reduced. John and Pecchenino (994) consider an overlapping generations model where economies wh low income or high environmental qualy are not engaged in environmental investment, that is, pollution abatement. When environmental qualy deteriorates wh growth, the economy moves to posive abatement, then the environment improves wh growth and the relationship is an inverted V-shaped. Stokey (998) generates an inverted V-shaped curve by considering a static optimization model where below a threshold income level only the dirtiest technologies are used. As economic activy and pollution increase, the threshold level is passed and cleaner technologies are used. Jaeger (998) derives the inverted V- shaped curve by considering a threshold in consumer preferences. Below the threshold the marginal benef from improving environmental qualy is small, whereas when pollution increases and the threshold is passed, qualy may be improved. The main purpose of this paper is to empirically explore the inverted V model by introducing the idea of regime-swching as a new methodological approach in the analysis of the emission-income relationship. More specifically, econometric techniques appropriate for a static smooth transion regression (STR) wh panel data are developed. In this model regression functions are not identical across all observations in a sample but fall into classes. The basic idea is that when some threshold is passed, then the economy could move smoothly to another regime, wh the emission-income relationship being different between the old and the new regime. The low-income regime might correspond to an increasing emission-income relationship, while in the regime after the threshold the emission-income relationship might be decreasing. The abrupt regime swch is a special case of the smooth regime swch implying that the discrete inverse V-shaped emissionincome paths are a special case of the more general smooth inverse V-shaped ones. Furthermore, we justify our methodology by proving that the quadratic or cubic polynomial model used to examine the emission-income relationship derives from the STR model, and therefore, the latter can be seen as the underlying structural specification For a recent lerature review, see, for example, Levinson (00).
3 in this lerature. Finally, we also develop N-shaped emission-income paths in a smooth transion regression framework where pollution can be increasing at low levels of income, decreasing at high levels, and then increasing again at even higher levels of national income. The methodology is applied to a panel dataset of US state-level sulfur dioxide ( SO ) and nrogen oxide ( NO ) emissions covering 48 states over the period from 99 to x 994. We find robust smooth N-shaped and smooth inverse-v-shaped pollution-income paths for SO. In particular, emissions of SO are found to peak at a relatively early stage of economic development and then decrease at middle-to-high levels of income. What is more interesting, however, and perhaps more policy relevant is that while in high-income states environmental qualy continues to improve, in low income states pollution increases wh the later increases in economic activy. As for NO x emissions, environmental pressure tends to rise wh economic growth in the early stages of economic development, then slows down but does not decline wh further income growth.. Methodology. Model By regime-swching behaviour we mean that the regression functions are not identical across all observations in the sample or that they fall into discrete classes. One of the most prominent among the regime-swching models in the macroeconomics area has been the threshold class of models and s smooth transion generalization (STAR models) promoted by Teräsvirta and his co-authors (Teräsvirta, 994, Teräsvirta and Anderson, 99, Granger and Teräsvirta, 993). Regime-swching models are flexible enough to allow several different types of effects that could be observed in the relationship between pollution and income. The equation of interest is the static singlethreshold smooth transion regression (STR) model wh state-specific fixed effects given by 3
4 P = µ + β c; Y ) + u, i =,..., N ; t =,..., T () i Y + ( β Y ) F( γ, where P is a measure of per capa air pollution in state i in year t, Y is per capa GDP in state i in year t, β ( β, β ) is the parameter vector, µ i represents statespecific effects and u is an IID error term. The function F γ, c; Y ) is the transion ( function, continuous and bounded by zero and uny, γ and c are s parameters, whereas Y is assumed to act as the transion variable. By wring () as P = µ + β + β F ) Y + u i ( we can see that the model is locally linear in Y and that the combined parameter ( β + β F) is a function of the transion variable Y. As F is bounded between zero and one, the combined parameter fluctuates between β and β + β. Values of zero of the transion function identify regime one and values of uny identify the alternative regime. In the analysis of emission-income relationship, this property makes possible, for example, to derive smooth inverted V-shaped curves by having pollution increasing wh income ( β > 0 ) until income passes some threshold, after which pollution is reduced ( β +β 0). It is also reasonable to assume that in utily terms the disutily 3 < of pollution is related to the flow of new pollutants and is thus adequate to use a static model. An alternative way of wring () is µ i+ β Y + u P = µ i+ ( β + ) β Y + u F F = 0 = We also included a time-trend to account for aggregate time effects such as exogenous technical progress. The time trend is insignificant and the results did not change. We argue that both the composion and (endogenous) technology effects can be captured by per capa income, so we focus solely on the relationship between pollution and income. 3 Since the flow of pollution affects utily in a negative way. 4
5 Obviously, a weighted mixture of these two models applies if 0 < F <. The practical applicabily of the above specification depends on how F is defined. One form of transion function used in the lerature is the logistic function ( + exp( γ ( Y ))) F( γ, c; Y ) = c, γ > 0 () where the parameter c is the threshold between the two regimes or the location of the transion function, and the parameter γ determines the smoothness of the change in the value of the logistic function and thus the speed of the transion from one regime to the other. When γ, F becomes a step function ( F = 0 if Y c and F = if Y > c ), and the transion between the regimes is abrupt. In that case, the model approaches a threshold model (Hansen, 999). A smooth transion between the two extremes may be an attractive parameterization because, from a theoretical point of view, the assumption of two regimes may sometimes be too restrictive compared to the STR alternative. For instance, instead of assuming that in the emission-income relationship there are two discrete regimes, degradation and improvement, may be more realistic to assume a continuum of states between these two extremes. Another argument is that economic agents may not all act promptly and uniformly at the same time probably due to heterogeneous beliefs. Nevertheless, the two viewpoints are not in conflict since the abrupt swch is a special case of the STR model and can therefore be treated whin that framework. Model () has a single threshold. An obvious extension would be to perm multiple thresholds. For example, the double threshold or three-regime STR model takes the form P = µ + β ; Y ) + u i Y + ( β Y ) F ( γ, c; Y ) + ( β 3Y ) F ( γ, c where β β, β, β ) is the parameter vector and γ, c and γ, c are the ( 3 parameters of F and F, respectively. It is assumed that income Y determines both transions, while the second transion function is defined analogously to (). If is 5
6 assumed that c < c, the parameters of this model change smoothly from β via β to β 3 for increasing values of Y.. Estimation A tradional method of eliminating the individual effect µ i is to remove individualspecific means. While straightforward in linear models, the non-linear specification in () calls for a more careful treatment. Once we have removed individual-specific means to estimate the STR model, is computationally convenient to first concentrate on the transion function parameters. Note that assigning fixed values to the parameters in the transion function makes the STR model linear in parameters. That is, condional on the transion function, the parameters of the STR can be estimated by OLS. We first carried out a two-dimensional grid search procedure using 50 values of γ ( to 50) and at least 00 equally spaced values of c whin the observed range of the transion variable. Essentially, Y is ordered by value, extremes are ignored by omting the most extreme 5 values at each end and the 00 values are specified over the range of the remaining values. This procedure guarantees that the values of the transion function contain enough sample variation given the choices of γ and c. The model wh the minimum RSS value from the grid search is used to provide γ and c. Following Teräsvirta (994) the exponent of the transion function is standardised by the sample standard deviation of the transion variable. This makes γ scale-free and helps in determining a useful set of grid values for this parameter. Specification of the double threshold model involves a modeling procedure analogous to that in the single transion case. Here a four dimensional grid search is performed over γ,γ =,,50 and 8 values of c,c over the range of the transion variable 4. We have described an algorhm to estimate a STR static model wh fixed effects. As for the consistency of the estimator vector β, in linear static models this estimator is consistent. If we assume that the dependence on γ and c is not of first-order asymptotic 4 Essentially, the first threshold is considered to be over the left part of the observed range of income series whereas the second threshold is over the right part. 6
7 importance, then inference on β can be proceeded as if the estimates γˆ and ĉ were the true values. Hence, β is asymptotically normal and conventional standard errors can be reported..3 Inference Before estimating the STR model is important to determine whether the threshold effect is statistically significant. The null hypothesis of no regime-swching effect in () is H : 0 against H : 0. The null hypothesis can be equally well expressed as H γ 0 = β 0 : β = γ > 0. This is an indication of an identification problem in (); the model is identified under the alternative but not under the null hypothesis, so classical tests have non-standard distribution. This is typically called the Davies Problem (see Davies, 987); for later contributions in the econometrics lerature see Shively (988), Granger and Teräsvirta (993), King and Shively (993), Andrews and Ploberger (994) and Hansen (996). The fixed-effects equation () falls into the class of models considered by Granger and Teräsvirta (993), who find a way of solving the identification problem by circumventing. To discuss this idea, take the logistic transion function in () and s first-order Taylor series approximation wh the null hypothesis γ = 0 as the expansion point. This can be wrten as T ( = δ 0+ δy + R γ, c; Y ) where R is the remainder and 0 = γ = 0 F in () yields δ F, δ = F γ = 0 are constants. Substuting T for P = µ + θ Y + θ Y + u (3) i * * where θ ( β + δ 0β ), θ δ β and u = u + ( β Y ) R( γ, c; Y ). Use of this approximation amounts to giving up information about the structure of the alternative 7
8 hypothesis in order to circumvent the identification problem and obtain a simple test for the null hypothesis. Thus the null hypothesis in () H : γ 0 implies H θ 0 and 0 = 0 : = H θ 0 in (3). Standard asymptotic inference is used to test the null hypothesis since : (3) is linear in the parameters and therefore a t-type test is performed. Next, consider a second-order Taylor series approximation to F. This can be wrten as T ( = δ 0+ δy + δ Y + R γ, c; Y ) where R is the remainder and 0 = γ = 0 Substuting T for F in () yields δ F, δ = F γ = 0, δ = 0. 5F γ = 0 are constants. P = µ + θ Y + θ Y + θ Y + u (4) i 3 * 3 where θ ( β + δ 0β ), δ β * θ, θ 3 δ β and u u + ( β Y ) R ( γ, c; Y ) =. The null hypothesis of lineary is a straightforward F-test of H θ = θ 0 in (4). 0 : 3= As turns out equations (3) and (4) are the benchmark econometric specifications used in environmental Kuznets curve (EKC) studies 5. Therefore, we empirically justify the idea of regime-swching in the analysis of the emission-income relationship by proving that in fact the above auxiliary regressions derive from a STR specification, and so the STR model can be seen as the underlying structural specification in this lerature. 3. Empirical results We use a long-term panel dataset on US state-level sulfur dioxide ( SO ) and nrogen oxide ( NO ) emissions previously used by List and Gallet (999). The data source is the x 5 In many studies the full specification also includes the average GDP per capa over the prior three years and other covariates, which can be recovered in our model if included in (). 8
9 US Environmental Protection Agency (EPA) in their National Air Pollution Emission Trends. For both emissions, there are 368 annual observations from 48 6 states over the period from 99 to The estimated single-threshold log-str 8 model for SO and NO x are presented in Table. To determine whether the threshold effect is statistically significant, we also report results for the test of no threshold effect by estimating the auxiliary regression (4). We find that the test is highly significant wh a p-value of in both emissions, implying strong regime-swching behaviour. In the first panel, the model for SO gives a threshold at per capa GDP of $3,00, which is a relatively small value in the distribution of the GDP transion variable. What is interesting, however, is that there are two classes of states, those wh low-income (associated wh F(GDP) = 0) where pollution increases wh economic growth, and those wh middle-to-high income (associated wh F(GDP) = ) where pollution begins to decline. Also seems that there is a continuum of states between the two extremes, where the transion from one regime to the other is smooth. In the second panel, the model for NO x estimates a threshold at per capa GDP of $5,84 implying two classes of states, those wh low-to-middle income and those wh high-income. The effect of income on pollution is posive throughout the sample, though smaller in magnude for high-income states. According to this specification the transion from one class to the other is abrupt (γˆ = 50), and therefore the model behaves similarly to a threshold model (Hansen, 999). To check the robustness of these finding we also included a time-trend to account for aggregate time effects such as exogenous technical progress. The results showed that the time trend is insignificant for both emissions, and that the estimated slopes and transion function parameters didn t qualative change 9. Thus, consequently, we argue that both the composion and endogenous technology effects can be captured by per capa income, so we focus solely on the relationship between pollution and income. To ease the interpretation of the models, Graph plots the shape of the estimated transion functions versus the transion variable, that is, per capa GDP (in logarhms). 6 Data are not available for Alaska, Hawaii and Washington DC. 7 See List and Gallet (999) for more details on the data. 8 We consider logarhmic transformations of Eq. (). 9 We do not report the results here but they are available from the authors upon request. 9
10 Every point indicates an observation so that one can readily see which values the transion function has obtained and how frequently. In the first panel, we have identified regimes of low-income states (associated wh F(GDP) = 0) and middle-to-high income states (associated wh F(GDP) = ). On the other hand, in the second panel, low-tomiddle income states and high-income are identified. The location parameters (thresholds) are not distributed equally between the left hand-side and right hand-side tails of the functions. In particular, in the NO x graph (second panel) the high- income states class applies to only 8.3% of the sample. The double-threshold models presented in Table are more intuive. In the first panel, the model for SO which estimates thresholds at $3,368 and $7,9 implies three classes of states. It is interesting to note that the coefficient estimates generate a smooth N-shaped pollution-income path, wh trough and peak pollution levels somewhere in the range of low-income and high-income states, respectively. In other words, we observe a pollution-income path increasing at low-income states, decreasing at middle-to-high income states, and then increasing again at very-high income states. However, the first panel of Graph shows that the very-high income class contains sparse data (associated wh F(GDP) = and F(GDP) close to ). Grossman and Krueger (995) dismiss the upper tail of this pattern as an artificial construct of the fact that they use a cubic functional form. Millimet and Stengos (999) find a pattern similar to ours wh a semiparametric specification. As before, NO x emissions seem to increase wh income at decreasing rates. A consistent result from all the above models is that the thresholds occur at reasonable values and consequently spl the states into groups. In order to check the robustness of our findings and provide a more elaborate presentation of these groups, we spl the sample into two groups: we employ a dummy variable, which indicates whether a state s per capa GDP is above or below the average per capa GDP of all states in every year from 99 to 994. In this way we try to develop regime-swching specifications for low-income and high-income states separately. By doing so we also tried to better identified the composion and technology effects 0. The final double- 0 For a detailed explanation of these effects, see Grossman and Krueger (995). 0
11 threshold specifications are illustrated in Table 3, and the transion functions in Graph 3. Our major finding concerns the model for SO which suggests that low income states follow a smooth N-shaped pollution-income path, whereas high-income states seem to follow a smooth inverse-v-shaped path. One possible explanation for this finding could be that low-income states, which try to catch up wh high-income states, may have received less attention from policymakers in the late years where most of the right handse observations cluster. Thus, the scale of economic activies appears to deteriorate environmental qualy. On the other hand, in high-income states structural economic changes and abatement activies seem to have offset this effect even during the later stage of economic growth and thus environmental qualy improved. Once again the model for NO x shows that in both low and high-income states, environmental pressure tends to increase wh economic growth in the early stages of economic development, then slows down but does not decline wh further income growth. These results can be compared to those in the seminal papers in the lerature. Selden and Song (994) confirm the EKC hypothesis for suspended particulate matter (SPM), SO and NO x, but not for CO emissions. Our finding concerning NO x is not in line wh the above work, however Selden and Song employ a different dataset (a panel of 30 countries). Grossman and Krueger (995) find a robust inverse-u-shaped pollutionincome path for SO, smoke and for most of the indicators of water qualy. Shafik and Bandyopadhyay (99) find that only two out of ten types of environmental pollutants, namely SPM and SO, follow an EKC. These studies have allowed for intercept heterogeney, but have ignored the possibily of slope heterogeney running a higher risk of producing inconsistent and biased parameter estimates. Only List and Gallet (999) address this issue by allowing US states to have heterogeneous slopes and provide evidence of the quadratic and cubic polynomial model for most of the states for both SO and NO x. We generalize their approach by allowing for two and three slopes We also considered single-threshold models before settling on the proposed double-threshold specifications. The results are similar to the first and second regime obtained from the double-threshold specifications and are available from the authors upon request. However, this effect gets weaker: compare the coefficients of to
12 (regimes 3 ) and a further continuum of slopes between the extremes. US states differ in a number of ways (in terms of resource endowments, infrastructure, technological developments, public pressures, etc.) but is perhaps too strict to assume that every state has also undergone a distinct pollution-income path. List and Gallet actually employ an F statistic where the null hypothesis tests for identical slopes across all states. The null hypothesis specified like this might be too restrictive since is not surprising for at least one state to have a different slope. 4. Concluding remarks The main purpose of this paper is to re-addresses the pollution-income path from a different perspective. First, we justify the idea of regime-swching and develop the smooth transion model as a more general specification than the quadratic or cubic polynomial model used in the lerature. Second, we empirically estimate a robust smooth N-shaped and smooth inverse-v-shaped pollution-income paths for SO. The thresholds, which can be viewed as turning points, occur at reasonable values 4. Emissions of SO are found to peak at a relatively early stage of economic development (before a state reaches a per capa income of $3,500), and then decrease at middle to high levels of income. What is more interesting from a policy point of view is that while for highincome states environmental qualy continues to improve, for low-income states pollution appears to still increase during the later increases in economic activy. As to NO x emissions, pollution tends to rise wh economic growth in the early stages of economic development, then slows down but does not decline wh further income growth. 3 In fact, the final specification allows for three slopes for low-income states plus three slopes for highincome states. 4 Many studies in the lerature find very high turning points that are not achievable for the majory of the world population.
13 Acknowledgements It is acknowledged that the GAUSS programs used here derive from programs made available by Timo Teräsvirta. Also, we thank John List for providing us the data. Any remaining errors are exclusively ours. 3
14 Bibliography Andrews D.W.K. and W. Ploberger (994), Optimal tests when a nuisance parameter is present only under the alternative, Econometrica 6, Davies R.B. (987), Hypothesis testing when a nuisance parameter is present only under the alternative, Biometrika 74, Granger C.W.J. and T. Teräsvirta (993), Modelling nonlinear economic relationships, Oxford: Oxford Universy Press. Grossman G.M. and A.B. Krueger (995), Economic growth and the environment, The Quarterly Journal of Economics 0, Hansen B.E (996), Inference when a nuisance parameter is not identified under the null hypothesis, Econometrica 64, Hansen B.E (999), Threshold effects in non-dynamic panels: Estimation, testing and inference, Journal of Econometrics 93, Jaeger W. (998), Growth and environmental resources: A theoretical basis for the U- shaped environmental path, mimeo, Williams College. John A. and R. Pecchenino (994), An overlapping generations model of growth and the environment, The Economic Journal 04, King M.L. and T.S. Shively (993), Locally optimal testing when a nuisance parameter is present only under the alternative, Review of Economics and Statistics 75, -7. Levinson A. (00), The ups and downs of the environmental Kuznets curve, in J. List and A. de Zeeuw (Eds.), Recent Advances in Environmental Economics (Edward Elgar: Cheltenham). List J.A and C.A. Gallet (999), The environmental Kuznets curve: does one size f all? Ecological Economics 3, Millimet D.L. and T. Stengos (999), A semiparametric approach to modeling the environmental Kuznets curve across US states, Mimeo, Southern Methodist Universy. Selden T.M. and D.S. Song (994), Environmental qualy and development: is there a Kuznets curve for air pollution emissions?, J. Environ. Econ. Manage. 7, Shafik N. and S. Bandyopadhyay (99), Economic growth and environmental qualy: time-series and cross-country evidence, World Bank Working Papers, WPS 904, Washington, 5 pp. Shively T.S. (988), An analysis of tests for regression coefficient stabily, Journal of Econometrics 39,
15 Stokey N.L. (998), Are there lims to growth?, International Economic Review 39, - 3. Summers R. and A. Heston (99), The Penn World Table (mark 5): An expanded set of international comparisons , Quarterly Journal of Economics 06, Teräsvirta T. (994), Specification, estimation and evaluation of smooth transion autoregressive models, Journal of American Statistical Association 89, Teräsvirta T. and H.M. Anderson (99), Characterizing nonlinearies in business cycles using smooth transion autoregressive models, Journal of Applied Econometrics 7, S9- S36. 5
16 Table : Single-threshold STR models Fixed-state effects STR model for SO SO = 0.56*GDP + (-0.648*GDP)*F(GDP) (3.98) (-3.39) Classification of regimes SO = 0.56*GDP, when F(GDP) = 0 SO = -0.49*GDP, when F(GDP) = ĉ = $3,00(antilog of 8.07), γˆ = 6 R-sq = 0.47 Threshold effect (p-value) Fixed-state effects STR model for NOx NOx = 0.579*GDP + (-0.63*GDP)*F(GDP) (50.6) (-6.065) Classification of regimes NOx = 0.579*GDP, when F(GDP) = 0 NOx = 0.46*GDP, when F(GDP) = ĉ = $5,84(antilog of 9.68), γˆ = 50 R-sq = Threshold effect (p-value) Notes: Models are estimated in logarhmic levels; threshold effect tests for the null of no regimeswching behaviour; values in parentheses are t-ratios. 6
17 Table : Double-threshold STR models Fixed-state effects STR model for SO SO = 0.8*GDP + (-.07*GDP)*F(GDP) + (.50*GDP)*F(GDP) (6.945) (-8.45) (3.84) Classification of regimes SO = 0.8*GDP, when F(GDP) = 0 & F(GDP) = 0 SO = -0.86*GDP, when F(GDP) = & F(GDP) = 0 SO = 0.684*GDP, when F(GDP) = & F(GDP) ĉ = $3,368(antilog of 8.), ˆ γ = 3 ĉ = $7,9(antilog of 9.758), ˆ γ = 5 R-sq = Fixed-state effects STR model for NOx NOx = 0.579*GDP + (.5*GDP)*F(GDP) + (-.496*GDP)*F(GDP) (4.8) (8.7) (-8.863) Classification of regimes NOx = 0.579*GDP, when F(GDP) = 0 & F(GDP) = 0 NOx =.830*GDP, when F(GDP) = & F(GDP) = 0 NOx = 0.334*GDP, when F(GDP) = & F(GDP) = ĉ = $6,608(antilog of 8.796), ˆ γ = 5 ĉ = $9,84(antilog of 9.36), ˆ γ = R-sq = 0.56 Notes: Models are estimated in logarhmic levels; values in parentheses are t-ratios. 7
18 Table 3: Double-threshold STR models wh dummy for high-income states Fixed-state effects STR model for SO SO = 0.6*GDP +0.6*GDP*Dh + (-0.85 *GDP *GDP*Dh)*F(GDP) + (0.885*GDP *GDP*Dh)*F(GDP) (5.098) (.949) (-.45) (-3.940) (0.87) (-.436) Classification of regimes SO = 0.6*GDP, when SO = 0.477*GDP, when SO = *GDP, when SO = -.008*GDP, when SO = 0.86*GDP, when SO = -0.47*GDP, when ĉ = $3,368 (antilog of 8.), ˆ γ = 3 ĉ = $5,063 (antilog of 9.60), ˆ γ = R-sq = F(GDP) = 0 & F(GDP) = 0 low income states F(GDP) = 0 & F(GDP) = 0 high income states F(GDP) = & F(GDP) = 0 low income states F(GDP) = & F(GDP) = 0 high income states F(GDP) = & F(GDP) = low income states F(GDP) = & F(GDP) = high income states Fixed-state effects STR model for NOx NOx = 0.535*GDP -0.83*GDP*Dh + (0.73*GDP -0.55*GDP*Dh)*F(GDP) + (-0.869*GDP *GDP*Dh)*F(GDP) (30.5) (-4.756) (.30) (-5.8) (-.8) (3.668) Classification of regimes NOx = 0.535*GDP, when NOx = 0.35*GDP, when NOx =.66*GDP, when NOx = 0.568*GDP, when NOx = 0.397*GDP, when NOx = 0.9*GDP, when ĉ = $5,464 (antilog of 8.606), ˆ γ = ĉ = $3,508 (antilog of 9.5), ˆ γ = 4 R-sq = F(GDP) = 0 & F(GDP) = 0 low income states F(GDP) = 0 & F(GDP) = 0 high income states F(GDP) = & F(GDP) = 0 low income states F(GDP) = & F(GDP) = 0 high income states F(GDP) = & F(GDP) = low income states F(GDP) = & F(GDP) = high income states Notes: Models are estimated in logarhmic levels; the dummy Dh indicates whether a state s per capa GDP is above or below the average per capa GDP of all states in each year from 99 to 994; the values in parentheses are t-ratios. 8
19 Graph : Transion function F of single-threshold SO (upper panel) and NOx (lower panel) models versus GDP (in logarhms). 9
20 Graph : Transion functions F and F of double-threshold SO (upper panel) and NOx (lower panel) models versus GDP (in logarhms). 0
21 Graph 3: Transion functions F and F of double-threshold (wh high- income states dummy) SO (upper panel) and NOx (lower panel) models versus GDP (in logarhms).
Smooth inverted-v-shaped & smooth N-shaped pollution-income paths
Smooth inverted-v-shaped & smooth N-shaped pollution-income paths Nektarios Aslanidis and Anastasios Xepapadeas Universy of Crete Department of Economics Universy Campus 74 00, Rethymno Greece n.aslanidis@econ.soc.uoc.gr,
More informationCarbon Dioxide (CO2) Emissions in Latin America: Looking for the Existence of Environmental Kuznets Curves
Carbon Dioxide (CO2) Emissions in Latin America: Looking for the Existence of Environmental Kuznets Curves Krishna P. Paudel Hector Zapata Alejandro Diaz Department of Agricultural Economics and Agribusiness
More informationAn Empirical Test of the Environmental Kuznets Curve for CO2 in G7: A Panel Cointegration Approach. Yusuf Muratoğlu and Erginbay Uğurlu *
An Empirical Test of the Environmental Kuznets Curve for CO in G7: A Panel Cointegration Approach Yusuf Muratoğlu and Erginbay Uğurlu * ABSTRACT This paper examines the relationship among CO emissions,
More informationSpecification testing in panel data models estimated by fixed effects with instrumental variables
Specification testing in panel data models estimated by fixed effects wh instrumental variables Carrie Falls Department of Economics Michigan State Universy Abstract I show that a handful of the regressions
More informationEconometric modeling of the relationship among macroeconomic variables of Thailand: Smooth transition autoregressive regression model
The Empirical Econometrics and Quantitative Economics Letters ISSN 2286 7147 EEQEL all rights reserved Volume 1, Number 4 (December 2012), pp. 21 38. Econometric modeling of the relationship among macroeconomic
More informationIdentifying SVARs with Sign Restrictions and Heteroskedasticity
Identifying SVARs with Sign Restrictions and Heteroskedasticity Srečko Zimic VERY PRELIMINARY AND INCOMPLETE NOT FOR DISTRIBUTION February 13, 217 Abstract This paper introduces a new method to identify
More informationNews Shocks: Different Effects in Boom and Recession?
News Shocks: Different Effects in Boom and Recession? Maria Bolboaca, Sarah Fischer University of Bern Study Center Gerzensee June 7, 5 / Introduction News are defined in the literature as exogenous changes
More informationapplications to the cases of investment and inflation January, 2001 Abstract
Modeling GARCH processes in Panel Data: Monte Carlo simulations and applications to the cases of investment and inflation Rodolfo Cermeño División de Economía CIDE, México rodolfo.cermeno@cide.edu Kevin
More informationResearch Statement. Zhongwen Liang
Research Statement Zhongwen Liang My research is concentrated on theoretical and empirical econometrics, with the focus of developing statistical methods and tools to do the quantitative analysis of empirical
More informationUniversity of Pretoria Department of Economics Working Paper Series
Universy of Pretoria Department of Economics Working Paper Series Inflation-Growth Nexus in Africa: Evidence from a Pooled CCE Multiple Regime Panel Smooth Transion Model Reneé van Eyden Universy of Pretoria
More informationModeling GARCH processes in Panel Data: Theory, Simulations and Examples
Modeling GARCH processes in Panel Data: Theory, Simulations and Examples Rodolfo Cermeño División de Economía CIDE, México rodolfo.cermeno@cide.edu Kevin B. Grier Department of Economics Universy of Oklahoma,
More informationA Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence. Intervals in TAR Models
A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models Walter Enders Department of Economics, Finance and Legal Studies University of Alabama Tuscalooosa,
More informationFORECASTING PERFORMANCE OF LOGISTIC STAR MODEL - AN ALTERNATIVE VERSION TO THE ORIGINAL LSTAR MODELS. Olukayode, A. Adebile and D ahud, K, Shangodoyin
FORECASTING PERFORMANCE OF LOGISTIC STAR MODEL - AN ALTERNATIVE VERSION TO THE ORIGINAL LSTAR MODELS Olukayode, A. Adebile and D ahud, K, Shangodoyin Abstract This paper proposes an alternative representation
More informationUniversity of Kent Department of Economics Discussion Papers
University of Kent Department of Economics Discussion Papers Testing for Granger (non-) Causality in a Time Varying Coefficient VAR Model Dimitris K. Christopoulos and Miguel León-Ledesma January 28 KDPE
More informationPurchasing power parity over two centuries: strengthening the case for real exchange rate stability A reply to Cuddington and Liang
Journal of International Money and Finance 19 (2000) 759 764 www.elsevier.nl/locate/econbase Purchasing power parity over two centuries: strengthening the case for real exchange rate stability A reply
More informationMarkov-switching autoregressive latent variable models for longitudinal data
Markov-swching autoregressive latent variable models for longudinal data Silvia Bacci Francesco Bartolucci Fulvia Pennoni Universy of Perugia (Italy) Universy of Perugia (Italy) Universy of Milano Bicocca
More informationDo Markov-Switching Models Capture Nonlinearities in the Data? Tests using Nonparametric Methods
Do Markov-Switching Models Capture Nonlinearities in the Data? Tests using Nonparametric Methods Robert V. Breunig Centre for Economic Policy Research, Research School of Social Sciences and School of
More informationA Robust Approach to Estimating Production Functions: Replication of the ACF procedure
A Robust Approach to Estimating Production Functions: Replication of the ACF procedure Kyoo il Kim Michigan State University Yao Luo University of Toronto Yingjun Su IESR, Jinan University August 2018
More informationCultural Globalization and Economic Growth
17 Cultural Globalization and Economic Growth Nuno Carlos Leão 1 This article investigates the relationship between cultural globalization and economic growth for the Portuguese experience for the period
More informationTHRESHOLD EFFECTS IN THE OPENNESS-PRODUCTIVITY GROWTH RELATIONSHIP: THE ROLE OF INSTITUTIONS AND NATURAL BARRIERS
THRESHOLD EFFECTS IN THE OPENNESS-PRODUCTIVITY GROWTH RELATIONSHIP: THE ROLE OF INSTITUTIONS AND NATURAL BARRIERS By SOURAFEL GIRMA, MICHAEL HENRY AND CHRIS MILNER (GEP and School of Economics, Universy
More informationESTIMATING FARM EFFICIENCY IN THE PRESENCE OF DOUBLE HETEROSCEDASTICITY USING PANEL DATA K. HADRI *
Journal of Applied Economics, Vol. VI, No. 2 (Nov 2003), 255-268 ESTIMATING FARM EFFICIENCY 255 ESTIMATING FARM EFFICIENCY IN THE PRESENCE OF DOUBLE HETEROSCEDASTICITY USING PANEL DATA K. HADRI * Universy
More informationTesting Purchasing Power Parity Hypothesis for Azerbaijan
Khazar Journal of Humanities and Social Sciences Volume 18, Number 3, 2015 Testing Purchasing Power Parity Hypothesis for Azerbaijan Seymur Agazade Recep Tayyip Erdoğan University, Turkey Introduction
More informationEstimation of Panel Data Models with Binary Indicators when Treatment Effects are not Constant over Time. Audrey Laporte a,*, Frank Windmeijer b
Estimation of Panel ata Models wh Binary Indicators when Treatment Effects are not Constant over Time Audrey Laporte a,*, Frank Windmeijer b a epartment of Health Policy, Management and Evaluation, Universy
More informationEstimation of growth convergence using a stochastic production frontier approach
Economics Letters 88 (2005) 300 305 www.elsevier.com/locate/econbase Estimation of growth convergence using a stochastic production frontier approach Subal C. Kumbhakar a, Hung-Jen Wang b, T a Department
More informationOn the econometrics of the Koyck model
On the econometrics of the Koyck model Philip Hans Franses and Rutger van Oest Econometric Institute, Erasmus University Rotterdam P.O. Box 1738, NL-3000 DR, Rotterdam, The Netherlands Econometric Institute
More informationThreshold effects in Okun s Law: a panel data analysis. Abstract
Threshold effects in Okun s Law: a panel data analysis Julien Fouquau ESC Rouen and LEO Abstract Our approach involves the use of switching regime models, to take account of the structural asymmetry and
More informationTHE LONG RUN RELATIONSHIP BETWEEN SAVING AND INVESTMENT IN INDIA
THE LONG RUN RELATIONSHIP BETWEEN SAVING AND INVESTMENT IN INDIA Dipendra Sinha Department of Economics Macquarie University Sydney, NSW 2109 AUSTRALIA and Tapen Sinha Center for Statistical Applications
More informationTesting for Regime Switching in Singaporean Business Cycles
Testing for Regime Switching in Singaporean Business Cycles Robert Breunig School of Economics Faculty of Economics and Commerce Australian National University and Alison Stegman Research School of Pacific
More informationObtaining Critical Values for Test of Markov Regime Switching
University of California, Santa Barbara From the SelectedWorks of Douglas G. Steigerwald November 1, 01 Obtaining Critical Values for Test of Markov Regime Switching Douglas G Steigerwald, University of
More informationAre 'unbiased' forecasts really unbiased? Another look at the Fed forecasts 1
Are 'unbiased' forecasts really unbiased? Another look at the Fed forecasts 1 Tara M. Sinclair Department of Economics George Washington University Washington DC 20052 tsinc@gwu.edu Fred Joutz Department
More informationSome Monte Carlo Evidence for Adaptive Estimation of Unit-Time Varying Heteroscedastic Panel Data Models
Some Monte Carlo Evidence for Adaptive Estimation of Unit-Time Varying Heteroscedastic Panel Data Models G. R. Pasha Department of Statistics, Bahauddin Zakariya University Multan, Pakistan E-mail: drpasha@bzu.edu.pk
More informationDetecting Convergence and Divergence Sub-Clubs: An Illustrative Analysis for Greek Regions
The Empirical Economics Letters, 11(8): (August 2012) ISSN 1681 8997 Detecting Convergence and Divergence Sub-Clubs: An Illustrative Analysis for Greek Regions Artelaris Panagiotis * Department of Geography,
More informationA Note on Demand Estimation with Supply Information. in Non-Linear Models
A Note on Demand Estimation with Supply Information in Non-Linear Models Tongil TI Kim Emory University J. Miguel Villas-Boas University of California, Berkeley May, 2018 Keywords: demand estimation, limited
More informationMETHODOLOGY AND APPLICATIONS OF. Andrea Furková
METHODOLOGY AND APPLICATIONS OF STOCHASTIC FRONTIER ANALYSIS Andrea Furková STRUCTURE OF THE PRESENTATION Part 1 Theory: Illustration the basics of Stochastic Frontier Analysis (SFA) Concept of efficiency
More informationThe Effects of Institutional and Technological Change and Business Cycle Fluctuations on Seasonal Patterns in Quarterly Industrial Production Series
The Effects of Institutional and Technological Change and Business Cycle Fluctuations on Seasonal Patterns in Quarterly Industrial Production Series Dick van Dijk Econometric Institute Erasmus University
More informationEcon 582 Fixed Effects Estimation of Panel Data
Econ 582 Fixed Effects Estimation of Panel Data Eric Zivot May 28, 2012 Panel Data Framework = x 0 β + = 1 (individuals); =1 (time periods) y 1 = X β ( ) ( 1) + ε Main question: Is x uncorrelated with?
More informationCHAPTER 5 FUNCTIONAL FORMS OF REGRESSION MODELS
CHAPTER 5 FUNCTIONAL FORMS OF REGRESSION MODELS QUESTIONS 5.1. (a) In a log-log model the dependent and all explanatory variables are in the logarithmic form. (b) In the log-lin model the dependent variable
More information4. Nonlinear regression functions
4. Nonlinear regression functions Up to now: Population regression function was assumed to be linear The slope(s) of the population regression function is (are) constant The effect on Y of a unit-change
More informationThe PPP Hypothesis Revisited
1288 Discussion Papers Deutsches Institut für Wirtschaftsforschung 2013 The PPP Hypothesis Revisited Evidence Using a Multivariate Long-Memory Model Guglielmo Maria Caporale, Luis A.Gil-Alana and Yuliya
More informationCulture Shocks and Consequences:
Culture Shocks and Consequences: the connection between the arts and urban economic growth Stephen Sheppard Williams College Arts, New Growth Theory, and Economic Development Symposium The Brookings Institution,
More informationNonparametric Estimation of the Marginal Effect in Fixed-Effect Panel Data Models
Nonparametric Estimation of the Marginal Effect in Fixed-Effect Panel Data Models Yoonseok Lee Debasri Mukherjee Aman Ullah October 207 Abstract This paper considers local linear least squares estimation
More informationDrivers of economic growth and investment attractiveness of Russian regions. Tatarstan, Russian Federation. Russian Federation
Drivers of economic growth and investment attractiveness of Russian regions M.V. Kramin 1, L.N. Safiullin 2, T.V. Kramin 1, A.V. Timiryasova 1 1 Institute of Economics, Management and Law (Kazan), Moskovskaya
More informationresearch paper series
research paper series Globalisation, Productivy and Technology Research Paper 2003/32 Threshold and Interaction Effects in the Openness-Productivy Growth Relationship: The Role of Instutions and Natural
More informationPanel Threshold Regression Models with Endogenous Threshold Variables
Panel Threshold Regression Models with Endogenous Threshold Variables Chien-Ho Wang National Taipei University Eric S. Lin National Tsing Hua University This Version: June 29, 2010 Abstract This paper
More informationUltra High Dimensional Variable Selection with Endogenous Variables
1 / 39 Ultra High Dimensional Variable Selection with Endogenous Variables Yuan Liao Princeton University Joint work with Jianqing Fan Job Market Talk January, 2012 2 / 39 Outline 1 Examples of Ultra High
More informationLM threshold unit root tests
Lee, J., Strazicich, M.C., & Chul Yu, B. (2011). LM Threshold Unit Root Tests. Economics Letters, 110(2): 113-116 (Feb 2011). Published by Elsevier (ISSN: 0165-1765). http://0- dx.doi.org.wncln.wncln.org/10.1016/j.econlet.2010.10.014
More informationShortfalls of Panel Unit Root Testing. Jack Strauss Saint Louis University. And. Taner Yigit Bilkent University. Abstract
Shortfalls of Panel Unit Root Testing Jack Strauss Saint Louis University And Taner Yigit Bilkent University Abstract This paper shows that (i) magnitude and variation of contemporaneous correlation are
More informationUsing regression to study economic relationships is called econometrics. econo = of or pertaining to the economy. metrics = measurement
EconS 450 Forecasting part 3 Forecasting with Regression Using regression to study economic relationships is called econometrics econo = of or pertaining to the economy metrics = measurement Econometrics
More informationIV Quantile Regression for Group-level Treatments, with an Application to the Distributional Effects of Trade
IV Quantile Regression for Group-level Treatments, with an Application to the Distributional Effects of Trade Denis Chetverikov Brad Larsen Christopher Palmer UCLA, Stanford and NBER, UC Berkeley September
More informationBirkbeck Working Papers in Economics & Finance
ISSN 1745-8587 Birkbeck Working Papers in Economics & Finance Department of Economics, Mathematics and Statistics BWPEF 1809 A Note on Specification Testing in Some Structural Regression Models Walter
More informationDEPARTMENT OF STATISTICS
Tests for causaly between integrated variables using asymptotic and bootstrap distributions R Scott Hacker and Abdulnasser Hatemi-J October 2003 2003:2 DEPARTMENT OF STATISTICS S-220 07 LUND SWEDEN Tests
More informationNON-LINEARITIES AND HYSTERESIS IN OECD UNEMPLOYMENT *
A R TIGO RBEE Revista Brasileira de Economia de Empresas Brazilian Journal of Business Economics Vol. 2 - nº 3 Setembro - Dezembro 2002 p. 23-30 NON-LINEARITIES AND HYSTERESIS IN OECD UNEMPLOYMENT * Miguel
More informationGenerated Covariates in Nonparametric Estimation: A Short Review.
Generated Covariates in Nonparametric Estimation: A Short Review. Enno Mammen, Christoph Rothe, and Melanie Schienle Abstract In many applications, covariates are not observed but have to be estimated
More informationEMERGING MARKETS - Lecture 2: Methodology refresher
EMERGING MARKETS - Lecture 2: Methodology refresher Maria Perrotta April 4, 2013 SITE http://www.hhs.se/site/pages/default.aspx My contact: maria.perrotta@hhs.se Aim of this class There are many different
More informationThreshold models: Basic concepts and new results
Threshold models: Basic concepts and new results 1 1 Department of Economics National Taipei University PCCU, Taipei, 2009 Outline 1 2 3 4 5 6 1 Structural Change Model (Chow 1960; Bai 1995) 1 Structural
More informationPanel data panel data set not
Panel data A panel data set contains repeated observations on the same units collected over a number of periods: it combines cross-section and time series data. Examples The Penn World Table provides national
More informationPANEL DISCUSSION: THE ROLE OF POTENTIAL OUTPUT IN POLICYMAKING
PANEL DISCUSSION: THE ROLE OF POTENTIAL OUTPUT IN POLICYMAKING James Bullard* Federal Reserve Bank of St. Louis 33rd Annual Economic Policy Conference St. Louis, MO October 17, 2008 Views expressed are
More informationTechnical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion Mario Cerrato*, Hyunsok Kim* and Ronald MacDonald** 1 University of Glasgow, Department of Economics, Adam Smith building.
More informationEconometric Analysis of Cross Section and Panel Data
Econometric Analysis of Cross Section and Panel Data Jeffrey M. Wooldridge / The MIT Press Cambridge, Massachusetts London, England Contents Preface Acknowledgments xvii xxiii I INTRODUCTION AND BACKGROUND
More informationA Non-Parametric Approach of Heteroskedasticity Robust Estimation of Vector-Autoregressive (VAR) Models
Journal of Finance and Investment Analysis, vol.1, no.1, 2012, 55-67 ISSN: 2241-0988 (print version), 2241-0996 (online) International Scientific Press, 2012 A Non-Parametric Approach of Heteroskedasticity
More informationVolume 30, Issue 1. Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan
Volume 30, Issue 1 Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan Akihiko Noda Graduate School of Business and Commerce, Keio University Shunsuke Sugiyama
More informationIncome Distribution Dynamics with Endogenous Fertility. By Michael Kremer and Daniel Chen
Income Distribution Dynamics with Endogenous Fertility By Michael Kremer and Daniel Chen I. Introduction II. III. IV. Theory Empirical Evidence A More General Utility Function V. Conclusions Introduction
More informationVolume 31, Issue 1. Mean-reverting behavior of consumption-income ratio in OECD countries: evidence from SURADF panel unit root tests
Volume 3, Issue Mean-reverting behavior of consumption-income ratio in OECD countries: evidence from SURADF panel unit root tests Shu-Yi Liao Department of Applied Economics, National Chung sing University,
More informationNew Developments in Econometrics Lecture 11: Difference-in-Differences Estimation
New Developments in Econometrics Lecture 11: Difference-in-Differences Estimation Jeff Wooldridge Cemmap Lectures, UCL, June 2009 1. The Basic Methodology 2. How Should We View Uncertainty in DD Settings?
More informationEstimating and Identifying Vector Autoregressions Under Diagonality and Block Exogeneity Restrictions
Estimating and Identifying Vector Autoregressions Under Diagonality and Block Exogeneity Restrictions William D. Lastrapes Department of Economics Terry College of Business University of Georgia Athens,
More informationUnit Roots and Structural Breaks in Panels: Does the Model Specification Matter?
18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 Unit Roots and Structural Breaks in Panels: Does the Model Specification Matter? Felix Chan 1 and Laurent
More informationA Simple Dynamic Model of the Environmental Kuznets Curve
A Simple Dynamic Model of the Environmental Kuznets Curve Hannes Egli (ETH Zurich) Thomas M. Steger (ETH Zurich) May 2004 We employ a simple dynamic macroeconomic model in the spirit of Andreoni and Levinson
More informationDocumento de Trabajo/Working Paper Serie Economía
Cátedra de Economía y Finanzas Internacionales Documento de Trabajo/Working Paper Serie Economía Threshold cointegration and nonlinear adjustment between CO 2 and income: the environmental Kuznets curve
More informationConsistency and Asymptotic Normality for Equilibrium Models with Partially Observed Outcome Variables
Consistency and Asymptotic Normality for Equilibrium Models with Partially Observed Outcome Variables Nathan H. Miller Georgetown University Matthew Osborne University of Toronto November 25, 2013 Abstract
More informationSixty years later, is Kuznets still right? Evidence from Sub-Saharan Africa
Quest Journals Journal of Research in Humanities and Social Science Volume 3 ~ Issue 6 (2015) pp:37-41 ISSN(Online) : 2321-9467 www.questjournals.org Research Paper Sixty years later, is Kuznets still
More informationEconometrics of Panel Data
Econometrics of Panel Data Jakub Mućk Meeting # 1 Jakub Mućk Econometrics of Panel Data Meeting # 1 1 / 31 Outline 1 Course outline 2 Panel data Advantages of Panel Data Limitations of Panel Data 3 Pooled
More informationChapter 1. GMM: Basic Concepts
Chapter 1. GMM: Basic Concepts Contents 1 Motivating Examples 1 1.1 Instrumental variable estimator....................... 1 1.2 Estimating parameters in monetary policy rules.............. 2 1.3 Estimating
More informationINFERENCE APPROACHES FOR INSTRUMENTAL VARIABLE QUANTILE REGRESSION. 1. Introduction
INFERENCE APPROACHES FOR INSTRUMENTAL VARIABLE QUANTILE REGRESSION VICTOR CHERNOZHUKOV CHRISTIAN HANSEN MICHAEL JANSSON Abstract. We consider asymptotic and finite-sample confidence bounds in instrumental
More informationPhD/MA Econometrics Examination January 2012 PART A
PhD/MA Econometrics Examination January 2012 PART A ANSWER ANY TWO QUESTIONS IN THIS SECTION NOTE: (1) The indicator function has the properties: (2) Question 1 Let, [defined as if using the indicator
More informationPurchasing power parity: A nonlinear multivariate perspective. Abstract
Purchasing power parity: A nonlinear multivariate perspective Frédérique Bec THEMA, University of Cergy-Pontoise and CREST, France Mélika Ben Salem OEP, Paris-Est University and LEA-INRA (PSE), France
More informationLecture on State Dependent Government Spending Multipliers
Lecture on State Dependent Government Spending Multipliers Valerie A. Ramey University of California, San Diego and NBER February 25, 2014 Does the Multiplier Depend on the State of Economy? Evidence suggests
More informationENERGY CONSUMPTION AND ECONOMIC GROWTH IN SWEDEN: A LEVERAGED BOOTSTRAP APPROACH, ( ) HATEMI-J, Abdulnasser * IRANDOUST, Manuchehr
ENERGY CONSUMPTION AND ECONOMIC GROWTH IN SWEDEN: A LEVERAGED BOOTSTRAP APPROACH, (1965-2000) HATEMI-J, Abdulnasser * IRANDOUST, Manuchehr Abstract The causal interaction between energy consumption, real
More informationNonparametric Identication of a Binary Random Factor in Cross Section Data and
. Nonparametric Identication of a Binary Random Factor in Cross Section Data and Returns to Lying? Identifying the Effects of Misreporting When the Truth is Unobserved Arthur Lewbel Boston College This
More informationThe linear regression model: functional form and structural breaks
The linear regression model: functional form and structural breaks Ragnar Nymoen Department of Economics, UiO 16 January 2009 Overview Dynamic models A little bit more about dynamics Extending inference
More informationDEPARTMENT OF ECONOMICS
ISSN 0819-64 ISBN 0 7340 616 1 THE UNIVERSITY OF MELBOURNE DEPARTMENT OF ECONOMICS RESEARCH PAPER NUMBER 959 FEBRUARY 006 TESTING FOR RATE-DEPENDENCE AND ASYMMETRY IN INFLATION UNCERTAINTY: EVIDENCE FROM
More information14.461: Technological Change, Lecture 4 Technology and the Labor Market
14.461: Technological Change, Lecture 4 Technology and the Labor Market Daron Acemoglu MIT September 20, 2016. Daron Acemoglu (MIT) Technology and the Labor Market September 20, 2016. 1 / 51 Technology
More informationPart 8: GLMs and Hierarchical LMs and GLMs
Part 8: GLMs and Hierarchical LMs and GLMs 1 Example: Song sparrow reproductive success Arcese et al., (1992) provide data on a sample from a population of 52 female song sparrows studied over the course
More informationFULL INFORMATION ESTIMATION AND STOCHASTIC SIMULATION OF MODELS WITH RATIONAL EXPECTATIONS
JOURNAL OF APPLIED ECONOMETRICS, VOL. 5, 381-392 (1990) FULL INFORMATION ESTIMATION AND STOCHASTIC SIMULATION OF MODELS WITH RATIONAL EXPECTATIONS RAY C. FAIR Cowles Foundation, Yale University, New Haven,
More informationTesting Overidentifying Restrictions with Many Instruments and Heteroskedasticity
Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity John C. Chao, Department of Economics, University of Maryland, chao@econ.umd.edu. Jerry A. Hausman, Department of Economics,
More informationFlexible Estimation of Treatment Effect Parameters
Flexible Estimation of Treatment Effect Parameters Thomas MaCurdy a and Xiaohong Chen b and Han Hong c Introduction Many empirical studies of program evaluations are complicated by the presence of both
More informationAveraging Estimators for Regressions with a Possible Structural Break
Averaging Estimators for Regressions with a Possible Structural Break Bruce E. Hansen University of Wisconsin y www.ssc.wisc.edu/~bhansen September 2007 Preliminary Abstract This paper investigates selection
More informationA Course in Applied Econometrics Lecture 7: Cluster Sampling. Jeff Wooldridge IRP Lectures, UW Madison, August 2008
A Course in Applied Econometrics Lecture 7: Cluster Sampling Jeff Wooldridge IRP Lectures, UW Madison, August 2008 1. The Linear Model with Cluster Effects 2. Estimation with a Small Number of roups and
More informationChristopher Dougherty London School of Economics and Political Science
Introduction to Econometrics FIFTH EDITION Christopher Dougherty London School of Economics and Political Science OXFORD UNIVERSITY PRESS Contents INTRODU CTION 1 Why study econometrics? 1 Aim of this
More informationEfficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models
Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models Tue Gørgens Christopher L. Skeels Allan H. Würtz February 16, 2008 Preliminary and incomplete.
More informationApplied Microeconometrics (L5): Panel Data-Basics
Applied Microeconometrics (L5): Panel Data-Basics Nicholas Giannakopoulos University of Patras Department of Economics ngias@upatras.gr November 10, 2015 Nicholas Giannakopoulos (UPatras) MSc Applied Economics
More information1 Motivation for Instrumental Variable (IV) Regression
ECON 370: IV & 2SLS 1 Instrumental Variables Estimation and Two Stage Least Squares Econometric Methods, ECON 370 Let s get back to the thiking in terms of cross sectional (or pooled cross sectional) data
More informationFINANCIAL DEVELOPMENT AND GROWTH: A PANEL SMOOTH REGRESSION APPROACH
JOURNAL OF ECONOMIC DEVELOPMENT 5 Volume 35, Number, March 200 FINANCIAL DEVELOPMENT AND GROWTH: A PANEL SMOOTH REGRESSION APPROACH EGGOH C. JUDE * Universé d Orléans In this paper, we propose an original
More informationCOMPARISON OF GMM WITH SECOND-ORDER LEAST SQUARES ESTIMATION IN NONLINEAR MODELS. Abstract
Far East J. Theo. Stat. 0() (006), 179-196 COMPARISON OF GMM WITH SECOND-ORDER LEAST SQUARES ESTIMATION IN NONLINEAR MODELS Department of Statistics University of Manitoba Winnipeg, Manitoba, Canada R3T
More informationIs there an Environmental Kuznets Curve?
1 Is there an Environmental Kuznets Curve? small open economy - fixed world price normalize population so that N = 1. growth treated as once-and-for-all changes in endowments or technology. Pollution Demand:
More informationASSESSING THE PRECISION OF TURNING POINT ESTIMATES IN POLYNOMIAL REGRESSION FUNCTIONS
Econometric Reviews, 26(5):503 528, 2007 Copyright Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930701512105 ASSESSING THE PRECISION OF TURNING POINT ESTIMATES IN
More informationNonlinearity and Inflation Rate Differential Persistence: Evidence from the Eurozone.
Nonlinearity and Inflation Rate Differential Persistence: Evidence from the Eurozone. Nikolaos Giannellis Department of Economics, University of Ioannina, Ioannina, 5, Greece, email: ngianel@cc.uoi.gr.
More informationLabor-Supply Shifts and Economic Fluctuations. Technical Appendix
Labor-Supply Shifts and Economic Fluctuations Technical Appendix Yongsung Chang Department of Economics University of Pennsylvania Frank Schorfheide Department of Economics University of Pennsylvania January
More informationMotivation Non-linear Rational Expectations The Permanent Income Hypothesis The Log of Gravity Non-linear IV Estimation Summary.
Econometrics I Department of Economics Universidad Carlos III de Madrid Master in Industrial Economics and Markets Outline Motivation 1 Motivation 2 3 4 5 Motivation Hansen's contributions GMM was developed
More informationGeneralized Method of Moments: I. Chapter 9, R. Davidson and J.G. MacKinnon, Econometric Theory and Methods, 2004, Oxford.
Generalized Method of Moments: I References Chapter 9, R. Davidson and J.G. MacKinnon, Econometric heory and Methods, 2004, Oxford. Chapter 5, B. E. Hansen, Econometrics, 2006. http://www.ssc.wisc.edu/~bhansen/notes/notes.htm
More informationRepeated observations on the same cross-section of individual units. Important advantages relative to pure cross-section data
Panel data Repeated observations on the same cross-section of individual units. Important advantages relative to pure cross-section data - possible to control for some unobserved heterogeneity - possible
More information