Problems in Applying Dynamic Panel Data Models: Theoretical and Empirical Findings

The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the period of 1988 to 2002 is then analyzed in this dynamic framework, testing for the impact of price competitiveness on market shares and searching for estimation methods that allow dealing with the problem of inter-temporal and cross-section correlation of the disturbances. To estimate the coefficients of the ARDL model, FGLS is utilized within the Three Stage Feasible Generalized Least Squares (3SFGLS) and the system Generalized Method of Moments (system GMM) methods. A computation of errors is added to highlight the susceptibility of the model to problems related to underlying model assumptions.Dynamic panel data model, autoregressive distributed lag model; pooled 3Stage Feasible

wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence

The aim of the paper is to consider the problem of selecting the number of breaks in the mean of a time series. Indeed, we prove analytically and show by a Monte Carlo study that some model selection criteria will tend to choose a spuriously high number of structural breaks when the process is trend-stationary without changes. The important question suggested by our results is that of distinction between trend-stationary process and random walk when modelling real data series.Model selection

Explicit robust schemes for implementation of a class of principal value-based constitutive models: Theoretical development

The issue of developing effective and robust schemes to implement a class of the Ogden-type hyperelastic constitutive models is addressed. To this end, explicit forms for the corresponding material tangent stiffness tensors are developed, and these are valid for the entire deformation range; i.e., with both distinct as well as repeated principal-stretch values. Throughout the analysis the various implications of the underlying property of separability of the strain-energy functions are exploited, thus leading to compact final forms of the tensor expressions. In particular, this facilitated the treatment of complex cases of uncoupled volumetric/deviatoric formulations for incompressible materials. The forms derived are also amenable for use with symbolic-manipulation packages for systematic code generation

Modelling of foreign trade in applied general equilibrium models: theoretical approaches and sensitivity analysis with the GEM-E3 model

The specification of the world closure, i.e. the way of closing the domestic economy model by incorporating the external sector, is a crucial component for those models in which production and consumption is not specified endogenously for all countries. This paper looks explicitly at the assumptions concerning the trade behaviour of the rest of the world that can be found in literature and in empirical applications, such as the GEM-E3 General Equilibrium Model for the EU. Starting from a description of the closure rule in the actual GEM-E3 model version, two main changes in the foreign trade specification are proposed and tested using an EU-wide ecological tax reform scenario. The first change refers to the rest of the world?s export supply function in which a constant finite price elasticity is introduced. The second change concerns the rest of the world?s import demand function in which an activity variable is incorporated. In summary, the impact in terms of economic welfare and changes in macroeconomic variables is noteworthy for the former case while no substantial changes could be observed for the latter case. Additionally, the sensitivity of the GEM-E3 model to variations in key parameter values such as the upper-level Armington elasticity are analysed. Results indicate that the model can be interpreted as quite robust to parameter changes. --

Optimization of synchronization in gradient clustered networks

We consider complex clustered networks with a gradient structure, where sizes of the clusters are distributed unevenly. Such networks describe more closely actual networks in biophysical systems and in technological applications than previous models. Theoretical analysis predicts that the network synchronizability can be optimized by the strength of the gradient field but only when the gradient field points from large to small clusters. A remarkable finding is that, if the gradient field is sufficiently strong, synchronizability of the network is mainly determined by the properties of the subnetworks in the two largest clusters. These results are verified by numerical eigenvalue analysis and by direct simulation of synchronization dynamics on coupled-oscillator networks.Comment: PRE, 76, 056113 (2007