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

In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

The aim of this study is to examine the effect of bank-specific, industry-specific and macroeconomic determinants of bank profitability, using an empirical framework that incorporates the traditional Structure-Conduct-Performance (SCP) hypothesis. To account for profit persistence, we apply a GMM technique to a panel of Greek banks that covers the period 1985-2001. The estimation results show that profitability persists to a moderate extent, indicating that departures from perfectly competitive market structures may not be that large. All bank-specific determinants, with the exception of size, affect bank profitability significantly in the anticipated way. However, no evidence is found in support of the SCP hypothesis. Finally, the business cycle has a positive, albeit asymmetric effect on bank profitability, being significant only in the upper phase of the cycle.

Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability

This article surveys the latest developments in the literature on the impact of inward foreign direct investment (FDI) on growth in developing countries. In general, FDI is thought of as a composite bundle of capital stocks, know‐how, and technology, and hence its impact on growth is expected to be manifold and vary a great deal between technologically advanced and developing countries. The ultimate impact of FDI on output growth in the recipient economy depends on the scope for efficiency spillovers to domestic firms, by which FDI leads to increasing returns in domestic production, and increases in the value‐added content of FDI‐related production.

Foreign direct investment in developing countries and growth: A selective survey

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Bank-specific, industry-specific and macroeconomic determinants of bank profitability

This paper examines the causal relationship between financial development and economic growth in Turkey. Five alternative proxies for financial development are developed and Granger causality tests applied using the cointegration and vector error correction methodology (VECM). The empirical results show that the direction of causality between financial development and economic growth in Turkey is sensitive to the choice of proxy used for financial development. For example, when financial development is measured by the money to income ratio the direction of causality runs from financial development to economic growth, but when the bank deposits, private credit and domestic credit ratios are alternatively used to proxy financial development, growth is found to lead financial development. On balance, however, for Turkey, growth seems to lead financial sector development.

Financial Development and Economic Growth in Turkey: Further Evidence on the Causality Issue

Preface. 1. Introduction: Rick van der Ploeg (Amsterdam). 2. Quantity-Constrained Models of Open Economies: Neil Rankin (Warwick). 3. Imperfect Competition and Open Economy Macroeconomics: Huw D. Dixon (York). 4. Relative Price Movements in Dynamic General Equilibrium Models of International Trade: David Backus (NYU), Patrick Kehoe (Pennsylvania) and Finn Kydland (Carnegie Mellon). 5. International Fiscal Policy Coordination and Competition: Assaf Razin and Efraim Sadka (Tel Aviv). 6. Capital Taxation in the World Economy: A. Lans Bovenberg (Tilburg). 7. History of the International Monetary System: Implications for Research in International Macroeconomics and Finance: Barry Eichengreen (Berkeley). 8. On Inflation, Unemployment and the Optimal Exchange Rate Regime: George Alogoskoufis (Athens). 9. Macroeconomic Policy, Speculative Attacks, and Balance of Payments Crisis: Pierre-Richard Agenor and Robert P. Flood (IMF). 10. Continuous-Time Models of Exchange Rates and Intervention: Giuseppe Bertola (Princeton). 11. Stylized Facts of Nominal Exchange Rate Returns: Casper G. de Vries (Leuven). 12. Partial versus General Equilibrium Models of International Capital Market Equilibrium. 13. Sovereign Debt: Kenneth Kletzer (Santa Cruz). 14. Growth and External Debt: Daniel Cohen (CEPREMAP). 15. Growth and Deficits in an Interdependent World. Index.

The Handbook of International Macroeconomics.

I. INTRODUCTION Variations in the economic performance of different regions of the European Union have become a matter of increasing concern for policymakers in recent years.(1) This paper is, however, less concerned with the details of the European Union's regional policy than with attempting to assess the degree to which economic convergence has occurred across its regions. The question of economic convergence has been, rather surprisingly, a neglected and under-researched topic in economics, although there has been something of an upsurge of interest following Baumol's work on the convergence of OECD economies (Baumol [1986]). The more rigorous analyses of convergence have tended to focus on monetary phenomena and look at the national rather than regional level (e.g., the work of Haldane and Hall [1991] and Hall et al. [1992] on nominal exchange rate and inflation convergence in the European Union). Barro and Sala-i-Martin's [1991] study of U.S. and European regions is an exception to this. While their paper offers interesting insights into convergence, it is forced to rely for its empirical analysis on a number of disparate data sets and to use a number of alternative proxies for variables such as industrial composition in different time frames as explanatory variables. In contrast, we employ a consistent data base to both re-examine and update the findings of Barro and Sala-i-Martin and to extend the analysis to embrace a wider set of variables that are often thought to have an influence on the convergence process. In particular, the calculations offered by Barro and Sala-i-Martin relate to a period before the creation of stronger monetary ties between some union members that have changed the long-standing nature of national regional policy instruments. In particular, the quasi-fixing of exchange rates reduces the ability of countries to stimulate their national economies and depressed regions by currency depreciations. II. APPROACHES TO STUDYING ECONOMIC CONVERGENCE General methods for examining convergence include using such indicators as changes in the coefficient of variation of the dispersion of regional performance over time (sometimes called "sigma" convergence).(2) Table I provides coefficients of variation for regional household GDP (at level one regional aggregation) within the European Union for the period 1977 to 1990 and the ratios of top to bottom deciles.(3) The changing coefficients provide general guidelines, for example, relating to the implications for regional income disparities as successive enlargements have brought more peripheral regions into the Union (Commission of the European Communities [1988]), but offer little beyond this. The major difficulty with these types of measures is that they can be subject to outliers. Hence convergence or nonconvergence may be excessively influenced by an outlying region. Further, it is not possible, or at least very difficult, to consider any causes of change through time. The data set used in this study is cross-section data across the level one regions of the European Union for 1975, 1981 and 1988. This data set differs from that employed in the earlier work by Barro and Sala-i-Martin [1991] in three main ways. First, it is a consistent set with all measures of output per head coming from Eurostat and based upon gross domestic product (GDP) per head at market prices in purchasing power parities standard. Second, it is based on official European Union level one administrative regions rather than the mixed system of regions employed by Barro and Sala-i-Martin. This means that for the whole sample period we have three cross sections of annual data on fifty-one regions across nine countries consisting of the UK (eleven regions), West Germany (eleven regions), France (eight regions), the Netherlands (four regions), Belgium (four regions) and Denmark, Luxembourg and Ireland, each of which is a single region. In contrast, Barro and Sala-i-Martin used data on seventy-three European Community regions, but across only seven countries. …

Testing for convergence of the eu regional economies

Measuring and estimating exchange market pressure in the EU

This paper uses a gravity model to forecast the potential impact on trade balances and trade patterns of the 2004 EU enlargement. The results suggest that gross trade creation for the accession economies is about 25 per cent of their 2003 trade. Although membership of the EU creates trade it also results in trade diversion; that is, a declining share of accession country exports and imports with non-EU15 countries. Overall, the trade balances of the accession countries suffer larger trade deficits after accession due to import growth surpassing export growth. The extent of increase in the trade deficit due to accession is inversely related to the level of integration and income of the new members. Hence integration is path-dependent and the EU should take this into account when preparing for further enlargements to the Balkans and Southeast Europe.

https://papers.ssrn.com/sol3/Delivery.cfm/twec_834.pdf?abstractid=917232&mirid=1

Eric J. Pentecost

Papers

Financial Development and Economic Growth in Turkey: Further Evidence on the Causality Issue

The Handbook of International Macroeconomics.

Testing for convergence of the eu regional economies

Measuring and estimating exchange market pressure in the EU

A Gravity Model Forecast of the Potential Trade Effects of EU Enlargement: Lessons from 2004 and Path-dependency in Integration