The paper advocates and implements a new panel structure model to investigate the club convergence hypothesis. The model consists of a set of linear dynamic models that characterize the behavior of growth rates within each convergence club and a logistic regression that classifies these linear models. An EM algorithm is used to estimate the system by maximum likelihood and inference is conducte...

This paper empirically measures the integration of the asset market of commercial real estate by studying the respective explanatory power of three types of variables – macroeconomic conditions, local market conditions, and property attributes – for property transaction cap rates. Results from analyzing about 10,000 sales of institutional grade commercial properties from 1977 to 2012 indicate t...

Forecasting Economic Aggregates by Disaggregates* We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in forecasting the aggregate. We show theoretically that...

This paper formulates and estimates a dynamic discrete choice model of elder parent care and work to analyze how caregiving affects a woman’s current and future labor force participation and wages. I model caregiving and work decisions in an intertemporal framework which incorporates parental health changes, human capital accumulation, and job offer availability. The model is estimated on a sam...

Although the scalar components methodology used to build VARMA models is rather difficult, the VAR models application being easier in practice, the forecasts based on the first models have a higher degree of accuracy. This statement is demonstrated for variables like the 3-month Treasury bill rate and the spread between the 10 year government bond yield, where the quarterly data are from the U....

We show that factor forecasting models deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one quarter ahead) horizon. Excluding the preGreat Moderation years from the factor forecasting model estimati...

This paper presents a framework for the construction of a residential real estate price index for Jamaica. This real estate price index will consist of a sales value-weighted aggregation of price sub-indices across geographical regions or zones. In this study, a hedonic price imputation model for housing in the parishes of Kingston & St. Andrew is estimated using mortgage transaction and assess...

It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of significant value. In this paper, we show that distribution tim ing, defined here as the ability to use forecasts for moments up to the fourth one, yields significant incremental economic value. By considering the ...

We consider the standard linear regression model with all standard assumptions, except that the disturbances are not white noise, but distributed N(0,p2X(h)) where X(0)"I n . Our interest lies in testing linear restrictions using the usual F-statistic based on OLS residuals. We are not interested in "nding out whether h"0 or not. Instead we want to "nd out what the e!ect is of possibly nonzero ...

This paper deals with the problem of estimation and prediction in a compound Poisson ECOGARCH(1, 1) model. For this we construct a quasi maximum likelihood estimator under the assumption that all jumps of the log-price process are observable. Since these jumps occur at unequally spaced time points, it is clear that the estimator has to be computed for irregularly spaced data. Assuming normally ...