Publications of Mátyás, L.

Corruption, development and institutional design

Papers from the Fourteenth World Congress of the International Economic Association held in Marrakech from August 29 to September 2, 2005.Includes bibliographical references and index.

Harris MN, Mátyás L, Sevestre P. Dynamic models for short panels. In: Mátyás L, Sevestre P, editors. The econometrics of panel data : fundamentals and recent developments in theory and practice. Berlin: Springer; 2008. p. 249-78.
Baltagi BH, Mátyás L, Sevestre P. Error components models. In: Mátyás L, Sevestre P, editors. The econometrics of panel data : fundamentals and recent developments in theory and practice. Berlin: Springer; 2008. p. 49-87.
Mátyás L, Sevestre P. The econometrics of panel data: fundamentals and recent developments in theory and practice. Third edition. Advanced Studies in Theoretical and Applied Econometrics, vol. 46. Berlin and Heidelb: Springer; 2008.

The econometrics of panel data: fundamentals and recent developments in theory and practice

Twenty-five papers comprise a restructured and updated third edition that examines the econometrics of panel data from both theoretical and applied viewpoints. Papers discuss fixed effects models and fixed coefficients models; error components models; endogenous regressors and correlated effects; the Chamberlain approach to panel data--an overview and some simulations; random coefficient models; parametric binary choice models; dynamic models for short panels; unit roots and cointegration in panels; measurement errors and simultaneity; pseudopanels and repeated cross-sections; attrition, selection bias, and censored regressions; simulation techniques for panels--efficient importance sampling; semiparametric and nonparametric methods in panel data models; panel data modeling and inference--a Bayesian primer; to pool or not to pool?; duration models and point processes; generalized method of moments for panel data count models; spatial panel econometrics; foreign direct investment--lessons from panel data; stochastic frontier analysis and efficiency estimation; econometric analyses of linked employer-employee data; life cycle labor supply and panel data--a survey; dynamic policy analysis; econometrics of individual labor market transitions; and a software review. Matyas is in the Department of Economics at Central European University. Sevestre is at the Paris School of Economics, University of Paris 1-Pantheon Sorbonne. No index.

Inflation and growth: Explaining a negative effect

The paper presents a monetary model of endogenous growth and specifies an econometric model consistent with it. The economic model suggests a negative inflation-growth effect, and one that is stronger at lower levels of inflation. Empirical evaluation of the model is based on a large panel of OECD and APEC member countries over the years 1961–1997. The hypothesized negative inflation effect is found comprehensively for the OECD countries to be significant and, as in the theory, to increase marginally as the inflation rate falls. For APEC countries, the results from using instrumental variables also show significant evidence of a similar behavior. The nature of the inflation-growth profile and differences in this between the regions are interpreted with the credit production technology of the model in a way not possible with a standard cash-only economy.

Modelling export activity of eleven APEC countries, 1978-97

The gravity model has long been used for modelling and predicting trade flows. This paper generalises the gravity model allowing for proper representation of local and target country effects and also the business cycle. The new approach is based on a panel data framework (instead of a simple cross sectional or time series approach) where the additional information available from using both types of data (i.e. cross sectional and time series) is utilised to properly model all the specific effects. The model is applied to a panel of APEC countries.

Gillman M, Harris M, Mátyás L. Inflation and growth: some theory and evidence. In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002. International Conferences on Panel Data; 2002.

Inflation and growth: some theory and evidence

The paper presents a monetary model of endogenous growth and specifies an econometric model consistent with it. The economic model suggests a negative inflation-growth effect, and one that is stronger at lower levels of inflation. Empirical evaluation of the model is based on a large panel of OECD and APEC member countries over the years 1961-1997. The hypothesized negative inflation effect is found comprehensively for the OECD countries to be significant and, as in the theory, to increase marginally as the inflation rate falls. For APEC countries, the results from using instrumental variables also show significant evidence of a similar behavior.

Modelling the impact of environmental regulations on bilateral trade flows: OECD, 1990-1996

Since the early seventies an increasing attention has been paid to the impact environmental polict nmight have on foreign trade. One of the most important issues is whether countries with relatively strict environmental regulations tend to experience a deterioration of international competitiveness and thus a fall in exports and a rise in imports, of the pollution-intensive commodities or, on the other hand, benefit from the improvement in environmentally more sensitive industries. So far, most empirical studies have concluded that the proportion of environmental costs to the total production costs is still so marginal that environmental policies have hardly any effect on comparative advantage patterns and thus on foreign trade. One of the few exceptions is Van Beers and Van den Bergh (1997), who found that stricter regulations have some negative impact on bilateral trade flows between OECD countries. The aim of this paper is to show that tyhis outcome is partly due to model mis-specification. The analysis id based on a triple indexed model and on its variants. It is found that, as soon as both the importing and exporting country specific effects are taken into consideration, the relationship between stricter regulations and foreign trade becomes statistically insignificant. This suggests that environmental costs do not have a real impact, neither negative nor positive, on foreign trade.

Modelling Export Flows in the APEC Region: Static and Dynamic Gravity Model Approaches

This paper reviews recent developments in the econometric methodology of gravity models and suggests an extension to the so-called Triple-Indexed Gravity model, which accounts for the fact that contemporaneous trade flows are likely to be strongly related to previous ones. All of the various models and methods are then illustrated with an application to export flows in the Asia Pacific Economic Co-operation region. Important explanatory variables were found to be domestic and target country Gross Domestic Product, domestic and foreign population, the real exchange rate, foreign currency reserves and the distance between the importing and exporting countries.

The negative inflation-growth effect: theory and evidence

The paper presents a monetary model of endogenous growth and specifies an econometric model consistent with it. The economic model suggests a negative inflation-growth effect, and one that is stronger at lower levels of inflation. Empirical evaluation of the model is based on a large panel of OECD and APEC member countries over the years 1961-1997. The hypothesized negative inflation effect is found comprehensively for the OECD countries to be significant and, as in the theory, to increase marginally as the inflation rate falls. For APEC countries, the results from using instrumental variables also show significant evidence of a similar behavior.

Hornok A, Mátyás L. Aggregation and unit roots in economic time series. In: Krishnakumar J, Ronchetti E, editors. Panel data econometrics: Future directions: Papers in honour of Professor Pietro Balestra. New York and Oxford: Elsevier Science North-Holland; 2000. p. 213-34.

Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models.

Wansbeek and Bekker considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. An operational variant of this estimator is proposed which is applicable to the more realistic case where there are exogenous variables. Also proposed is an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied researcher is likely to encounter, especially in moderate time series length panels

Modelling the Impact of Environmental Regulations on Bilateral Trade Flows: OECD, 1990-1996

Since the early seventies an increasing attention has been paid to the impact environmental policy has on foreign trade. One of the most important issues is whether countries with relatively strict environmental regulat ions tend to experience a deterioration of international competitiveness and thus a fall in the exports, and a rise in the imports, of t he pollution-intensive commodities or, on the other hand, benefit from the improvement in environmental quality and are likely to develop new comparative advantages in the environmentally more sensitive industries. So far, most empirical studies have concluded that the proportion of environmental costs to the total production costs is still so marginal that environmental policies have hardly any effect on comparative advantage patterns and thus on foreign trade. One of the few exceptions is Van Beers and Van den Bergh (1997), who found that stricter regulat ions have some negative impact on bilateral trade flows between OECD countries. The aim of this paper is to show that t his outcome is part ly due to model mis-specification. The analysis is based on a triple indexed fixed-effects model and on its variant's. It is found that, as so on as both t he importing and exporting country specific effects are taken into consideration, the relationship between stricter regulations and foreign trade becomes statist ically insignificant. This suggests that environmental costs do not have a real impact, neither negative nor positive, on foreign trade.

Modelling export activity of eleven APEC countries

The gravity model has long been used for modelling and predicting trade flows. This paper generalises the gravity model allowing for proper representation of local and target country effects and also the business cycle. The new approach is based on a panel data framework (instead of a simple cross sectional or time series approach) where the additional information available from using both types of dat a (i. e. cross sectional and time series) is utilised to properly model all the specific effects. The model is applied to a panel of APEC countries.

Harris D, Mátyás L. Introduction to the Generalized Method of Moments Estimation. In: ed Matyas L, editor. Generalized method of moments estimation. New York and Melbourne: Cambridge University Press; 1999. p. 3-30.

Generalized method of moments estimation

Eleven papers present the theory of generalized method-of-moments estimation and address their use in empirical econometric studies. Covers an introduction to generalized method-of-moments (GMM) estimation; GMM estimation techniques; covariance matrix estimation; hypothesis testing in models estimated by GMM; finite sample properties of GMM estimators and tests; GMM estimation of time series models; reduced rank regression using GMM; estimation of linear panel-data models using GMM; alternative GMM methods for nonlinear panel-data models; simulation-based method of moments; and logically inconsistent limited-dependent-variables models. Matyas is at Budapest University of Economics. Index.

Growth convergence: some panel data evidence

This paper implements a panel data approach of the Solow model to study the phenomenon of growth convergence for 22 OECD countries. It shows that although the derived estimable Solow model is probably underspecified from an econometric point of view, it is still possible to conclude that there is a likely convergence to a steady state rate of about 2-4%.

The gravity model: Some econometric considerations

Presents an alternative specification of the gravity model used to analyze the economic phenomena in the flow of goods and services. In-depth look at the model; Information on a homogeneity test on the stability of the parameters.

Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models.

Wansbeek and Bekker (1996) considered a new estimator for simple dynamic panel data models (where there are no exogenous variables) which involved a complex weighting matrix. In this paper we propose an operational variant of this estimator which is applicable to the more realistic case where there are exogenous variables. We also propose an easy-to-compute approximation to the weighting matrix. The performance of this (these) new estimator(s) is examined, revealing very desirable small sample properties in a wide range of situations that the applied

The econometrics of gravity models

Gravity type models have often been used to analyse trade flows between countries and trading blocs. Previously however, these models were only applied to either cross-section data, or to single country time-series data, which imposed severe explicit (or implicit) restrictions on the specification of the model. Recently Gravity models have been generalised and adapted to a panel data setting, where several time-series of cross-section data sets were pooled. This approach not only increases the degrees of freedom, it also enables the proper specification of source and target country effects and time (or business cycle) effects. In this paper, we review in a unified framework, the recent developments in the econometric methodology of Gravity models, and refine the estimation techniques to account for any possible simultaneity bias. Although a fully specified fixed effects Gravity model has been estimated previously, this paper contains the first ever results of its random effects counterpart. We also suggest an extension to the basic model, which accounts for the fact that contemporaneous trade flows are likely to be strongly related to previous ones. Once more, this appears to be the first application of such a model in the literature. Finally, all of these various models and methods are illustrated with an application to export flows in the APEC region. The results clearly suggest that it is important to properly specify the model, in terms of source, target and business cycle effects. If this is not the case, policies could be instigated that do not take into account, for example, that some countries have 'naturally' higher propensities to import than others. Moreover, if these effects are not properly specified the affect of other important driving factors, e.g. population will be wrongly estimated. In both cases, policy will be misguided. Important explanatory variables are found to be domestic and target country GDP, and dependent upon specification, local and domestic population, the exchange rate and foreign currency reserves. Also, there is strong evidence that current export flows are highly correlated with those of the previous year.Downloads: PDF format (65K)

Aggregation and unit roots in economic time series

This paper analyses the e ects of aggregation on testing the null hypothesis of unit root in time series. It shows that when an economic time series is derived through the aggregations of several individual time series, the usual Dickey-Fuller and Phillips-Perron tests can be misleading. Here an alternative test is introduced which explicitly takes into account the behaviour of the individual series. We derive the theoretical distribution of the new test under quite general conditions and give some simulated critical values as well. 1.

Proper econometric specification of the gravity model

Focuses on the importance of predicting and modelling foreign trade flows in international economics, with emphasis on the use of gravity type models. How these models are constructed and used; Criticism of these models in an article written by Polak in 1996; Indepth look at trading blocs in relation to this issue.

Modelling export activity in a multicountry economic area : the APEC case

The gravity model has long been used fro modelling and predicting trade flows. This paper generalises the gravity model allowing for proper representation of local and target country effects and also the business cyles.

The Kuznets U-Curve hypothesis: some panel data evidence

In this paper Kuznets' U-Curve hypothesis is tested on two unbalanced panel data sets of 47 and 62 countries, for the period 1970-93, using two-way fixed and random effects models. Several competing model specifications are estimated and the one best fitting the data is selected by appropriate model selection procedures.

Lieberman O, Mátyás L. Improved Estimation Procedures. In: Matyas L, Sevestre P, editors. The econometrics of panel data: A handbook of the theory with applications. Boston and London: Kluwer Academic; 1996. p. 573-82.
Mátyás L. Error Components Models. In: Matyas L, Sevestre P, editors. The econometrics of panel data: A handbook of the theory with applications. Boston and London: Kluwer Academic; 1996. p. 50-76.

The determinants of foreign direct investment in transforming economies: A comment

We are deeply convinced that econometric and other statistical methods are essential tools of empirical economic analysis. However, they are useful only if applied properly. There is an overwhelming evidence that Zhen Quan Wang and Nigel J. Swain failed to do so in their referred article. All these problems of the empirical analysis suggest that the claims made by the paper are not supported by the data and the estimated models and can (and should) be considered as the results of pure speculation.

Robustness of tests for error components models to non-normality

A comprehensive empirical evaluation is presented of the sensitivity to non-normality of the main tests for individual effects in a one-way error components panel data model.

The robustness of estimators for dynamic panel data models to misspecification

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined assumption, which in practice my be violated.The purpose of this paper is to ascertain how robust the available estimators are to such misspecifications, thus providing guidance to applied researcher as to an appropriate choice of estimator in such situation.

A comparative analysis of different estimatiors for dynamic panel data mModels

In this paper two new estimators are offred (one each for the fixed random effects specifications), and small sample performance compared with that of all the existing estimators.

Aggregation and cointegration

The analysis of economic time series assumes specific economic behaviour of a representative agent. The data used in analysis is generated by aggregating observations of all individuals in a population. This is valid only if all members of a population have the same data generating process, but what happens if their behaviour is heterogeneous? This paper examines the properties of test statistics for cointegration when the aggregate data consists of heterogeneous individuals.

Growth convergence: some panel data evidence

This paper implements a panel data approach of the Solow model to study the phenomenon of growth convergence for 22 OECD countries. It shows that the derived estimable Solow model is probably underspecified from an econometric point of view, it is still possible to conclude that there is a likely convergence to a steady state of a rate about 2-4%.

The econometrics of panel data: A handbook of the theory with applications

Thirty-three papers provide a general overview of the econometrics of panel data, from both a theoretical and an applied point of view. Second, expanded edition recognizes the recent evolution in the techniques and procedures available, especially for nonlinear models. Focuses on classical linear models and their extensions; nonlinear models and related issues; and applications to analysis of dynamic labor demand, company investment, consumption dynamics, labor supply functions, individual labor market transitions, companies' dividend policies, multinational enterprises and direct investment, and production frontiers and efficiency. Includes a software review. Matyas is at Monash University and Budapest University of Economics. Sevestre is at the University of Paris-Val-de-Marne. Index.

The INITB macros -user's guide: A macro collection to write books using TEX

The INITB.TEX file consists of a macro collection designed to write books in a form standard to many handbooks. The macro file should be input before the text. Macros in this file automatically number chapters, sections, and print their titles in the proper format. It offers many useful features, like naming chapters, formulae, pages for further references, multi-column pages etc.

Blanchard P, Mátyás L. Misspecified heterogeneity in panel data models. Monash University Department of Econometrics and Business Statistics Monash Econometrics and Business Statistics Working Papers: 10/95; 1995.

Misspecified heterogeneity in panel data models

In this paper we analyse systematically through Monte Carlo simulations the consequences of misspecified heterogeneity on the most popular linear panel data models. We also illustrate our findings, through the estimation of a well known investment demand model.

Kőrösi G, Lovrics L, Mátyás L. Aggregation And The Long-Run Properties Of Economic Time-Series. In: MSSA/IMAC 10th Biennial Conference on Modelling and Simulation. Perth, Australia; 1993. p. 279-86.

Comparative review of some econometric software packages

Reviews several econometric software packages. Aremos for estimation methods and tests; Pc-Give used for general instrumental variable estimation; IAS (Interactive Simulation system-Bonn) used for extensive policy simulations; LIMDEP(LIMited DEPendents variables) used for estimating and analysing models with limited dependent variables.

Kőrösi G, Mátyás L, Székely IP. Practical econometrics. Aldershot, U.K.: Avebury; distributed in the U.S. by Ashgate Brookfield Vt.; 1992.

Practical econometrics

Textbook, suitable for undergraduate or graduate courses in econometrics up to the intermediate level, focusing on the practical use of the methods and on creating an understanding of the main concepts, ideas, and motivation. Considers preparations for econometric analysis, including a discussion of the database. Covers single equation models, discussing the basic model, stochastic regressors, time series analysis, dynamic specification, heteroskedastic disturbances, non-normal disturbances, multicollinearity, nonlinear models, structural stability, external (prior) information, joint tests of hypotheses, model selection, panel data based modeling, and analysis and forecast. Treats inference in simultaneous models, covering the classical simultaneous model and its estimation; hypothesis testing in linear simultaneous equation models; and analysis and prediction of simultaneous models. Addresses other selected topics, including investigating causal relationships by econometric methods; models with qualitative and limited dependent variables; and latent variables. Provides information on econometric software packages. Korosi is with the Hungarian Academy of Sciences. Matyas is at Monash University. Szekely is at Budapest University of Economics. Index.

Mátyás L. Error Components Models. In: Matyas L, Sevestre P, editors. The econometrics of panel data: Handbook of theory and applications. Advanced Studies in Theoretical and Applied Econometrics, vol. 28. Norwell, Mass. and Dordrecht: Kluwer Academic; 1992. p. 46-71.

A possible new approach of panel modelling

Fuzzy sets theory is a method for overcoming the limitations of hypotheses underlying traditional econometric models. The article discusses various fuzzy regression models and their use with panel data, then Monte-Carlo experiments are used to compare the performance of traditional probabilistic and fuzzy panel models in various mixed panel situations.

Simultaneous error components models when panel data are incomplete

The purpose of this paper is to investigate the loss of efficiency of the simultaneous error components model's estimators in the case of incomplete panels. The static and the dynamic cases were analysed, when from a panel data base those individuals are dropped for which the observations are not complete.

Mátyás L, Sevestre P. The econometrics of panel data: Handbook of theory and applications. Advanced Studies in Theoretical and Applied Econometrics, vol. 28. Norwell, Mass. and Dordrecht: Kluwer Academic; 1992.

The econometrics of panel data: Handbook of theory and applications

Twenty-two papers provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Papers focus on formulation and estimation of econometric models for panel data; linear models; nonlinear models; and applications to analysis of dynamic labor demand, company investment, consumption dynamics, labor supply functions, individual labor market transitions, and companies' dividend policies. Also includes a software review. Matyas is at Monash University and Budapest University of Economics. Sevestre is at the University of Paris-Val-de-Marne and INSEE. Index.

Missing observations and panel data: a Monte-Carlo analysis

By means of Monte Carlo experiments the loss of efficiency of the main error components' models estimators is analyzed if from a panel data base those individuals are dropped for which the observations are not complete. An empirical risk function has been estimated. This can help to measure the risk of the use of complete sub-panels instead of the original but incomplete ones.

Kőrösi G, Mátyás L, Székely IP. Gyakorlati ökonometria. Budapest, Hungary: Közgazdasági és Jogi Könyvkiadó; 1990.

Small sample properties of simultaneous error components models

The purpose of this paper is to investigate the small properties of the simultaneous error components model's estimators in the static case, and to analyze the small and "semi-asymptotic" properties of these estimators in the dynamic case.

József S, Kőrösi G, Mátyás L. Soft econometric modelling : the example of fuzzy methods. Budapest: Karl Marx University of Economics Department of Business Economics; 1990.