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dc.contributor.authorAgudze, Komla M.
dc.contributor.authorBillio, Monica
dc.contributor.authorCasarin, Roberto
dc.contributor.authorRavazzolo, Francesco
dc.date.accessioned2023-01-13T13:30:12Z
dc.date.available2023-01-13T13:30:12Z
dc.date.created2021-06-07T10:10:18Z
dc.date.issued2021
dc.identifier.citationJournal of Econometrics. 2021, 1-18.en_US
dc.identifier.issn0304-4076
dc.identifier.urihttps://hdl.handle.net/11250/3043411
dc.description.abstractThis paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of the observable processes, and several types of interaction effects among the hidden chains allow for various degrees of endogenous synchronization of both latent and observable processes. The interaction is driven by a multi-layer network with exogenous and endogenous connectivity layers. We provide some theoretical properties of the model, develop a Bayesian inference framework and an efficient Markov Chain Monte Carlo algorithm for estimating parameters, latent states, and endogenous network layers. An application to the US-state coincident indicators shows that the synchronization in the US economy is generated by network effects among the states. The inclusion of a multi-layer network provides a new tool for measuring the effects of the public policies that impact the connectivity between the US states, such as mobility restrictions or job support schemes. The proposed new model and the related inference are general and may find application in a wide spectrum of datasets where the extraction of endogenous interaction effects is relevant and of interest.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.titleMarkov switching panel with endogenous synchronization effectsen_US
dc.typeJournal articleen_US
dc.typePeer revieweden_US
dc.description.versionpublishedVersionen_US
dc.rights.holderThe Authorsen_US
dc.source.pagenumber281-298en_US
dc.source.volume230en_US
dc.source.journalJournal of Econometricsen_US
dc.source.issue2en_US
dc.identifier.doi10.1016/j.jeconom.2021.04.004
dc.identifier.cristin1914064
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode2


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Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal