Topics in Applied Econometrics
Description
This edited collection commemorates and builds upon the work of prominent Greek scholar in econometrics, Professor Efthymios (Mike) Tsionas. Including previously published work by Professor Tsionas, as well as original research from scholars in his related fields, this book makes a significant contribution to applied econometrics.
Within a single volume, readers will have the opportunity to explore the impactful contributions made by Mike Tsionas throughout his academic career. Chapters cover four key sections, including recent econometric method developments, Bayesian methods, stochastic frontier analysis and inefficiency, and macroeconomic applications. The book features contributions from globally recognized scholars in econometrics, with significant policy relevance. This will be a valuable resource for students and researchers of econometrics, specifically working on topics including Bayesian inference, productivity and inefficiency, macro-finance and banking.
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Persons
Stelios Arvanitis is Professor of Econometrics at Athens University of Economics and Business, Greece.
Ioannis Bournakis is Associate Professor of Economics at SKEMA Business School, Lille, France.
Dimitris K. Christopoulos is Professor of Economics at Athens University of Economics and Business, Greece.
Elias Tzavalis is Professor of Economics at Athens University of Economics and Business, Greece.
Content
Chapter 1: Introduction.- Part I: Bayesian Methods in Econometrics.- Chapter 2: Using Panel Cointegration to Estimate Unobserved Productivity in Production Functions.- Chapter3: Instrument-Free Approaches in Regression Models with Endogenous Regressors.- Chapter 4: Bayesian and LASSO-type Methods for Dimensionality Reduction in Envelopment Analysis Using Convex Nonparametric Least Squares.- Chapter 5: Bayesian inference for exact stochastic volatility models.- Chapter 6: Assessing Banking Sector Efficiency through Alternative Generalized True Random Effects Models.- Chapter 7: A Cybernetic Approach to Time Series Forecasting with MAP-Bayesian Hierarchical Learning.- Part II: Stochastic Frontier Analysis and Inefficiency.- Chapter 8: Why Does Efficiency Matter for Estimating Productivity?.- Chapter 9: The eco-efficiency value-to-damage ratio in the typical case where both value and damage must be inferred.- Chapter 10 Two-Tier Identification in the Two-Tier Stochastic Frontier Model.- Chapter 11: Transformational Leadership, Employee Satisfaction and Organizational Productivity.- Chapter 12: A Bootstrap-Based Econometric Framework for Efficiency and Convergence: Integrating the Log-t Method for Dynamic Club Formation with the Simar-Wilson Approach for Detailed Static Analysis within Clubs.- Part III: Recent Developments in Econometric Methods.- Chapter 13: The Mundlak Estimator in a Panel Data Model with Serially Correlated Error Component Disturbances.- Chapter 14: Addressing Endogeneity in Linear Regression via Gaussian Copula Trans-formations.- Chapter 15: Efficiency and coverage under heteroskedasticity: simulating the HOLS estimator vs OLS.- Chapter 16: Maximum Likelihood Estimation of Spatial Dynamic Panel Data with Fixed Effects and Endogenous Regressors.- Part IV: Applied Econometric Methods in Macroeconomics and Finance.- Chapter 17: Cross-country Variation in Price-to-Book Ratios of Systemically Important Banks: An ARDL Approach.- Chapter 18: Market Power and Technological Change:Schumpeterian Panel Data Evidence from Austria.- Chapter 19: Network Inference and Regime-Switching Synchronization in European GDP.- Chapter 20: An Empirical Assessment of the "Insiders-Outsiders Society".- Chapter 21: Over-qualification and immigrant versus non-immigrant self-employment in London.- Chapter 22: Dynamic Heterogeneous spillovers between multi-dimensional policy uncer-tainties and U.S. stock volatility: which policy contributes more?.- Chapter 23: Market Structure and Its Effects on Export Competitiveness.- Chapter 24:What drives incorporation in history? An empirical model for Greece, 1840-1939.