Panel VAR models with interactive fixed effects

2020 ◽  
Author(s):  
Mustafa Tuğan
Keyword(s):  
Structural Analysis ◽  
Fixed Effects ◽  
Large Time ◽  
Var Model ◽  
Panel Var ◽  
Large Cross Section ◽  
Var Models ◽  
Macroeconomic Variables ◽  
Interactive Fixed Effects ◽  
Panel Vector Autoregression

Summary In the literature, a common feature of panel models with interactive fixed effects is that they model a univariate variable. In this regard, they are incapable of addressing dynamic and simultaneous interactions among a set of macroeconomic variables, a problem that falls within the realm of structural analysis. This paper aims to contribute to the existing literature by studying a homogeneous panel vector autoregression (VAR) model with interactive fixed effects. The panel VAR model in question is flexible in that it can accommodate an arbitrary lag length and observable regressors that can be individual-specific or common. For factor VAR models with both a large cross-section (C) and a large time (T) dimension, we derive the limiting distribution of the interactive fixed estimator, allowing structural analysis to be extended to panel VAR models with interactive fixed effects.

scholarly journals TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS

2013 ◽  
Vol 29 (6) ◽  
pp. 1079-1135 ◽  
Author(s):  
Liangjun Su ◽  
Qihui Chen
Keyword(s):  
Panel Data ◽  
Fixed Effects ◽  
Data Models ◽  
Development Economic ◽  
Strong Mixing ◽  
Panel Data Models ◽  
Finite Sample ◽  
Test Statistic ◽  
Lm Test ◽  
Interactive Fixed Effects

This paper proposes a residual-based Lagrange Multiplier (LM) test for slope homogeneity in large-dimensional panel data models with interactive fixed effects. We first run the panel regression under the null to obtain the restricted residuals and then use them to construct our LM test statistic. We show that after being appropriately centered and scaled, our test statistic is asymptotically normally distributed under the null and a sequence of Pitman local alternatives. The asymptotic distributional theories are established under fairly general conditions that allow for both lagged dependent variables and conditional heteroskedasticity of unknown form by relying on the concept of conditional strong mixing. To improve the finite-sample performance of the test, we also propose a bootstrap procedure to obtain the bootstrap p-values and justify its validity. Monte Carlo simulations suggest that the test has correct size and satisfactory power. We apply our test to study the Organization for Economic Cooperation and Development economic growth model.

scholarly journals Econometric Analysis of the Impact of Propensities on Economic Occurrences: A Macroeconomic Perspective

2012 ◽  
Vol 10 (2) ◽  
pp. 138-154 ◽  
Author(s):  
Mariusz Doszyń
Keyword(s):  
Spatial Data ◽  
Fixed Effects ◽  
Classical Model ◽  
Econometric Analysis ◽  
Dummy Variables ◽  
Macroeconomic Variables ◽  
Current State ◽  
Famous Book ◽  
Direct Models ◽  
The Impact

Econometric Analysis of the Impact of Propensities on Economic Occurrences: A Macroeconomic PerspectiveThe main aim of this article was the specification of problems connected with analysis of impact of human propensities on economic occurrences and also a proposition of econometric tools enabling the identification of this impact. According to the meaning of propensities in economics the current state of knowledge is mostly an effect of considerations presented by J.M. Keynes in his famous book "The General Theory of Employment, Interest and Money" where J.M. Keynes proposed such economic categories as the average and marginal propensities. One of the goals of the presented deliberations was to specify problems related with economic theory of propensities. Such propensities as a propensity to consume, to save, to invest and thesaurisation were particularly carefully analysed. The impact of these propensities on basic macroeconomic variables was considered with respect to the classical model, the neoclassical Solow-Swan model and theIS-LMscheme. In case of spatial data the effects of the impact of propensities could be analysed by means of models with dummy variables showing presence of given propensities. A procedure enabling the construction of such variables was proposed. In case of time series, conceptions delivered by the integration and cointegration theory could be applied. Especially such models as VAR and VECM could be useful. Models for panel data enable direct (models with fixed effects) or indirect (models with random effects) consideration of the impact of propensities on the analysed processes.

Popularity Brings Better Sales or Vice Versa: Evidence from Instagram and OpenTable

2021 ◽  
pp. 097215092110443
Author(s):  
Hanane Lasmi ◽  
Chul Ho Lee ◽  
Yasin Ceran
Keyword(s):  
Granger Causality ◽  
Fixed Effects ◽  
Business Performance ◽  
Spillover Effect ◽  
Restaurant Industry ◽  
Reverse Causality ◽  
Positive Effects ◽  
Verse Effect ◽  
The Impact ◽  
Panel Vector Autoregression

With the popularity of user-generated content (UGC), an increasing number of studies have investigated its impact on business performance. However, prior studies were limited to a single platform and showed the effects of UGC of a platform, for example, customer textual comments or customer numeral ratings, on sales/reservation of the same platform. In practice, users often refer to a UGC, for example, Instagram, and purchase it on other platforms. To incorporate the spillover effect, we considered the restaurant industry because it has active participation across various channels. Using topic modelling, we first identified from Instagram four topics of users’ interest regarding a restaurant, such as location, nightlife, food and celebration. From fixed effects models’ estimation, we found that (a) recommendation and mention of Instagram have positive effects, and (b) comments of location and food also have positive significant fixed effects, but (c) the impact of Instagram volume is curvilinear and positive significant effect the sales. Since the curvilinear effects may come from reverse causality, that is, higher reservation, might bring more customers and comments on social networking service (SNS) (echo verse effect in our paper). Therefore, we further analysed two-way Granger causality and panel vector autoregression to identify the endogeneity, and the results showed the existing Granger causality loop between OpenTable review and Instagram post volumes.

scholarly journals Evidence of effective financial crisis management from South Korea: An example for other regions

2020 ◽  
Vol 42 (1) ◽  
pp. 21-38
Author(s):  
Saysi Sayaseng
Keyword(s):  
Financial Crisis ◽  
South Korea ◽  
Global Financial Crisis ◽  
Var Model ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Macroeconomic Variables ◽  
South Korean ◽  
Positive Growth ◽  
The Global Financial Crisis

AbstractEvidence from the global financial crisis (2007–2008) and the Asian financial crisis (1997) have taught policymakers valuable lessons. The contagious effects of these crises have proven unavoidable and have led to negative economic development. However, South Korea, unlike other countries, has recovered remarkably from both episodes of financial turmoil and proved their ability to maintain positive growth throughout the two periods. This study investigates the correlation between the evolution of South Korean banking and corporate sector before, during and after these crises. A VAR model was employed to test the effectiveness of the South Korean government's policies, in response to the financial crisis from 1997 to 2017, using macroeconomic variables as proxies for newly introduced policies, and non-performing loans for controlled risks. The empirical results indicate impulse response functions which suggest that changes in macroeconomic variables as a representation for the policies resulted in a reduction of non-performing loans. This implies successful risk reduction and an overall economic recovery.

Sign in / Sign up

Export Citation Format

Share Document