TIME SERIES BEHAVIOUR AND DYNAMIC SPECIFICATION<sup>*</sup>

Pagan, Adrian

doi:10.1111/j.1468-0084.1985.mp47003002.x

Cited by 99 publications

(7 citation statements)

References 12 publications

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“…And defined as a method which has a function to adjust an instrument and mantain it, in order to make a research get near to its desired result (Phillips, 1957). Which in practice, ECM imposes a linier homogenity of researched variables (Pagan, 1985). So, the method will accomplish ARDL method.…”

Section: Error Correction Model (Ecm)mentioning

confidence: 99%

An Empirical Analysis of Islamic Banking (IBs) Contribution to Indonesia’s Inclusive Growth

Ibrahim¹,

Indra²

2021

IJIEF

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The research is aim to attest and assess empirically the contribution of Islamic banking (IBs) on the inclusive growth in Indonesia. By taking a trial-stage method i.e. descriptive analysis to elaborate a statistical data, autoregressive distributed lag (ARDL) model to assess empirically the contribution in a long-term, and error correction model (ECM) to assess the contribution in a short-term empirically. The findings are, total deposits and total financing only contribute positively significant into GDP and gini ratio in a long-term, that similiar with the previous study. Then, a total financing contribute negatively to all indicators of inclusive growth in a long-term, but, its only significance on GDP and gini ratio. Means, it was contribute significantly to all indicators in a short-term.

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Section: Error Correction Model (Ecm)mentioning

confidence: 99%

An Empirical Analysis of Islamic Banking (IBs) Contribution to Indonesia’s Inclusive Growth

Ibrahim¹,

Indra²

2021

IJIEF

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“…where λ ≡ 1 1 + κ is the speed of labor reallocation and 0 < |λ| < 1; if it is negative (positive), the closer it is to 1, the faster the rate at which job flows are able to narrow (widen) productivity gaps. See Pagan (1985), Nichell (1985) and Alogoskoufis and Smith (1991) for a discussion of the ECM model as an equilibrium condition within a rational framework of optimizing agents facing adjustment costs.…”

Section: Modelling Structural Transformationmentioning

confidence: 99%

“…The P-ECM model is able to capture these key empirical patterns, while providing a measure of the level of policy distortions or institutional costs that restrict the fluidity of labor reallocation (i.e. speed of adjustment, Pagan (1985), Alogoskoufis and Smith (1991)). These distortions cause short-term gaps (i.e.…”

Section: Introductionmentioning

confidence: 99%

The Role of Labor Market Frictions in Structural Transformation

ElFayoumi

2020

Macroecon. Dynam.

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Large productivity gaps across sectors persist and the process of structural transformation is stagnant in many developing economies. This wedge between observed and optimal labor allocations reflects the presence of institutional and market frictions, which impose costs on the optimal reallocation of labor from low- to high-productivity sectors. Using a panel of cross-country sector-level data, I estimate a dynamic panel error correction model that captures the dynamics of sectoral labor flows. The model estimates provide a new set of stylized facts on the dynamics of the structural transformation process and a measure of the magnitude of frictions facing labor flows. In addition, I analyze the contribution of labor regulations and reforms to the pace at which labor flows across economic sectors. Results suggest that policy reforms need to steer between the goal of easing job creation and destruction, while supporting labor supply incentives to reallocate through strong social nets, labor protection, and risk sharing.

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“…Let N, P, A, and Ω be the relative values to agriculture of the corresponding small letter variables (labor share, sector price level, sector TFP, and sector weight in consumption, respectively, for any sector i in country j at time t). Following Pagan (1985) and Alogoskoufis and Smith (1991), the ECM model can be interpreted as the optimal adjustment rule of an economy that faces a penalty for both deviations from equilibrium as well as rapid adjustments. In our case, , , tracks the equilibrium value , , * through a costly correction for any deviations that occur in the short term.…”

Section: A Model Specification and Estimationmentioning

confidence: 99%

Structural Reforms and Labor Reallocation: A Cross-Country Analysis

ElFayoumi¹,

Ndoye²,

Nadeem³

et al. 2018

IMF Working Papers

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Institutional and market frictions impose costs on the reallocation of labor from low to high productivity sectors, leading to suboptimal allocations and a loss in aggregate labor productivity. Using crosscountry sector-level data, we use a dynamic panel error correction model to compute the speed of sectoral labor adjustment, as well as the contribution of structural reforms in governance, labor and product markets, trade and openness, and the financial sector to lowering the costs of labor reallocation. We find that, on average, sectoral employment shares converge towards equilibrium allocations, closing about 13.7 percent of labor productivity gaps each year; this speed of labor adjustment varies across sectors and income groups. On structural reforms, we find a significant association between more efficient labor reallocation and financial market liberalization, less bureaucracy, strong judicial and regulatory environment, trade liberalization, better education and more flexible labor and product markets.

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TIME SERIES BEHAVIOUR AND DYNAMIC SPECIFICATION^*

Cited by 99 publications

References 12 publications

An Empirical Analysis of Islamic Banking (IBs) Contribution to Indonesia’s Inclusive Growth

An Empirical Analysis of Islamic Banking (IBs) Contribution to Indonesia’s Inclusive Growth

The Role of Labor Market Frictions in Structural Transformation

Structural Reforms and Labor Reallocation: A Cross-Country Analysis

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TIME SERIES BEHAVIOUR AND DYNAMIC SPECIFICATION*

Cited by 99 publications

References 12 publications

An Empirical Analysis of Islamic Banking (IBs) Contribution to Indonesia’s Inclusive Growth

An Empirical Analysis of Islamic Banking (IBs) Contribution to Indonesia’s Inclusive Growth

The Role of Labor Market Frictions in Structural Transformation

Structural Reforms and Labor Reallocation: A Cross-Country Analysis

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Product

Resources

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TIME SERIES BEHAVIOUR AND DYNAMIC SPECIFICATION^*