Talk by Martin Wagner on May 27, 2023 on “Pseudo Maximum Likelihood Estimation for Multiple Frequency I(1) VARMA Processes: A State Space Approach” at the 10th Italian Congress of Econometrics and Empirical Economics in Cagliari, Italy.
“Fully Modified Estimation and Inference for Systems of Cointegrating Polynomial Regressions” by Martin Wagner accepted for publication in Economics Letters.
Gerhard Rünstler (Monetary Policy Research, European Central Bank) holds a talk on “The Macroeconomic Impact of Euro Area Labour Market Reforms: Evidence from a Narrative Panel VAR” on Mon. May 22, 2023 at 4:15pm in B01.0.203 (Lakeside Park). Guests welcome!
Using new quarterly narrative evidence, this paper examines the macro-economic impact of reforms of unemployment benefits (UB) and employment protection legislation (EPL) in the euro area from a Bayesian narrative panel VAR. The approach complements existing micro-econometric evidence by aligning short- and medium-term effects in a unified framework and assessing state dependencies. Liberalizing reforms result in temporary wage declines and highly persistent increases in economic activity and employment. In contrast to UB reforms, the effects of EPL reforms on employment emerge only gradually.
“Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference” by Martin Wagner and Karsten Reichold has been published in Econometric Reviews.