Showing papers by "Manuel Arellano published in 2004"
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TL;DR: In this paper, the authors develop likelihood-based estimators for autoregressive panel data models that are consistent in the presence of time series heteroskedasticity, including bias corrected conditional score estimators, random effects maximum likelihood in levels and first differences, and estimators that impose mean stationarity and considered for AR(p) models with individual effects.
Abstract: We develop likelihood-based estimators for autoregressive panel data models that are consistent in the presence of time series heteroskedasticity. Bias corrected conditional score estimators, random effects maximum likelihood (RML) in levels and first differences, and estimators that impose mean stationarity and considered for AR(p) models with individual effects. We investigate identification under unit roots, and show that RML in levels may achieve substantial efficiency gains relative to estimators from data in differences. In an empirical application, we find evidence against unit roots in individual earnings processes from the PSID and the Spanish section of the European Panel.
39 citations
01 Jan 2004
TL;DR: In this paper, the efecto de las prestaciones por desempleo sobre el paro in Espana, destacando dos aspectos that pueden analizarse con las fuentes estadisticas disponibles.
Abstract: En este trabajo se estudia el efecto de las prestaciones por desempleo sobre el paro en Espana, destacando dos aspectos que pueden analizarse con las fuentes estadisticas disponibles. Primero revisamos y discutimos los resultados de un trabajo previo sobre la duracion del paro en que empleabamos datos de la Encuesta de Poblacion Activa durante 1987-1994, al hilo del cual discutimos varios aspectos relativos a la investigacion economica. En segundo lugar, presentamos nuevos resultados sobre el tiempo de paro con datos del Panel de Hogares de la Union Europea durante 1993-1999.
5 citations