Journal•ISSN: 0377-7332
Empirical Economics
Springer Science+Business Media
About: Empirical Economics is an academic journal published by Springer Science+Business Media. The journal publishes majorly in the area(s): Monetary policy & Economics. It has an ISSN identifier of 0377-7332. Over the lifetime, 3223 publications have been published receiving 72109 citations. The journal is also known as: Empirical economics (Print).
Topics: Monetary policy, Economics, Inflation, Cointegration, Interest rate
Papers published on a yearly basis
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TL;DR: In this paper, a stochastic frontier production function is defined for panel data on firms, in which the nonnegative technical inefficiency effects are assumed to be a function of firm-specific variables and time.
Abstract: A stochastic frontier production function is defined for panel data on firms, in which the non-negative technical inefficiency effects are assumed to be a function of firm-specific variables and time. The inefficiency effects are assumed to be independently distributed as truncations of normal distributions with constant variance, but with means which are a linear function of observable variables. This panel data model is an extension of recently proposed models for inefficiency effects in stochastic frontiers for cross-sectional data. An empirical application of the model is obtained using up to ten years of data on paddy farmers from an Indian village. The null hypotheses, that the inefficiency effects are not stochastic or do not depend on the farmer-specific variables and time of observation, are rejected for these data.
5,783 citations
TL;DR: In this paper, the concept of a metafrontier is used to compare the technical efficiencies of firms that may be classified into different groups. And the authors present the basic analytical framework necessary for the definition of a meta-frontier, shows how a meta-frontiers can be estimated using non-parametric and parametric methods, and presents an empirical application using cross-country agricultural sector data.
Abstract: This paper uses the concept of a metafrontier to compare the technical efficiencies of firms that may be classified into different groups. The paper presents the basic analytical framework necessary for the definition of a metafrontier, shows how a metafrontier can be estimated using non-parametric and parametric methods, and presents an empirical application using cross-country agricultural sector data. The paper also explores the issues of technological change, time-varying technical inefficiency, multiple outputs, different efficiency orientations, and firm heterogeneity.
1,162 citations
TL;DR: In this article, the authors argue that there are several logical reasons for the existence of asymmetric causal effects that need to be taken into account but usually are neglected in the literature, and they suggest allowing for asymmetry in the causality testing by using the cumulative sums of positive and negative shocks.
Abstract: This article argues that there are several logical reasons for the existence of asymmetric causal effects that need to be taken into account but usually are neglected in the literature. It suggests allowing for asymmetry in the causality testing by using the cumulative sums of positive and negative shocks. A bootstrap simulation approach with leverage adjustment is used to generate critical values that are robust to non-normality and time-varying volatility. An application to the efficient market hypothesis in the UAE is provided. The results show that the equity market is informationally efficient with regard to the oil shocks regardless if these shocks are positive or negative.
573 citations
TL;DR: This paper introduced a dynamic panel threshold model to estimate inflation thresholds for long-term economic growth, which allows the estimation of threshold effects with panel data even in case of endogenous regressors.
Abstract: We introduce a dynamic panel threshold model to estimate inflation thresholds for long-term economic growth. Advancing on Hansen (J Econom 93:345–368, 1999) and Caner and Hansen (Econom Theory 20:813–843, 2004), our model allows the estimation of threshold effects with panel data even in case of endogenous regressors. The empirical analysis is based on a large panel-dataset including 124 countries. For industrialized countries, our results confirm the inflation targets of about 2% set by many central banks. For non-industrialized countries, we estimate that inflation rates exceeding 17% are associated with lower economic growth. Below this threshold, however, the correlation remains insignificant.
499 citations
TL;DR: The authors generalizes the GARCH model by distinguishing two regimes with different volatility levels; GARCH effects are allowed within each regime, and the resulting Markov regime-switching Garch model improves on existing variants, for instance by making multi-period-ahead volatility forecasting a convenient recursive procedure.
Abstract: Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks in GARCH forecasts. To obtain more flexibility regarding volatility persistence, this paper generalizes the GARCH model by distinguishing two regimes with different volatility levels; GARCH effects are allowed within each regime. The resulting Markov regime-switching GARCH model improves on existing variants, for instance by making multi-period-ahead volatility forecasting a convenient recursive procedure. The empirical analysis demonstrates that the model resolves the problem with the high single-regime GARCH forecasts and that it yields significantly better out-of-sample volatility forecasts.
482 citations