This paper deals with the problem of nonstationarity of regressors in binary choice model. The limit distribution of the ML-estimator is mixed normal, but restriction testing shall not be based on standard t-statistic. The results of the conducted Monte Carlo experiment demonstrate that the true size of the restriction test is far from the significance level. Therefore, the t-Student statistic should be modified and this paper proposes its modification. The results of the Monte Carlo investigation point to the superiority of the new statistic.
In many research studies it is argued that it is possible to extract useful information about future real economic activity from the performance of financial markets. However, this study goes further and shows that it is not only possible to use expectations derived from financial markets to forecast future economic activity, but that data about the financial system can be used for this purpose as well. This paper sheds light on the ability to forecast real economic activity, based on additional and different financial variables than what have been presented so far.
The research is conducted for the Polish emerging economy on the basis of monthly data. The results suggest that, based purely on the data from the financial system, it is possible to construct reasonable measures that can, even for an emerging economy, effectively forecast future real economic activity. The outcomes are proved by two different econometric methods, namely, by a time series analysis and by a probit model. All presented models are tested in-sample and out-of-sample.
This paper presents an empirical analysis of economic growth in respect of its components, namely input change, technological progress and changes in efficiency. In this work the Bayesian Stochastic Frontier method as well as the output change decomposition procedure, are used in order to evaluate their influence on economic growth. The use of panel data in the study allows for a detailed analysis of economic growth in a given economy and enables the search for general patterns that govern the process. The study is carried using a set of sixteen countries over the period 1995‒2005.
Homeownership rates are very different across European countries. They range from below 50% in Germany to over 80% in Greece, Spain or Ireland. However the differences lie not only in the overall homeownership rates but also in its structure, and this is the focus of this paper. Its aim is to study the impact of microeconomic factors on household’s tenure choice, using a crosscountry comparative approach. Logit models are constructed for each country using data for year 2000 from the Consortium of Household Panels for European Socio-Economic Research micro-database. The models show that marriage is a significant determinant of the decision to move to homeownership in all analysed countries, while cohabitating households are more likely to rent, except for Denmark. Nationality, income and age proved to be significant explanatory variables in several countries, while staying insignificant in others.
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