arXiv subjects

Nikolay Gospodinov

Publications and source records attributed to Nikolay Gospodinov.

2 recordsLinked to original sources

arXiv2026

Cross-Section Estimation of Long-Run Relations Using Time-Compressed Data

Many empirical investigations of long-run relations are based on cross-section regressions in averaged or long differenced data that effectively have the time dimension of a $T\times N$ panel compressed. We analyze a class of time-compressed I(1) data and show that they have magnified variability stemming from the fact that the cross-section variance of a non-stationary panel `fans out' with time. Cross-section regressions in time compressed data can potentially yield estimates that are super-consistent and asymptotically normal, whether the regressors are stationary, non-stationary, or highly persistent. The fastest convergence rate of $\sqrt{N}T$ requires a compression scheme that not only magnifies the non-stationary signal, but also dilutes the regression noise. Omitted fixed effects preclude noise dilution but the estimates remain super-consistent. However, the fanning out effect can be weakened when the data have a strong force for mean-reversion or convergence, a problem that seems relevant for temperature data. We consider three applications and find that the long-run relation between consumption and income, and between growth/inflation and demographic variables are reasonably well determined, but the estimated relation between growth and warming temperature is fragile.

econ.EM↗

arXiv2026

The Economic Impact of Low- and High-Frequency Temperature Changes

Variations in the low- and high-frequency components of temperature may have distinct impacts on economic outcomes. Parametric and non-parametric estimates from three panels of data all find significant heterogeneity in the relative importance of the two components, but there is clear evidence in each panel of a common, slowly evolving low-frequency factor that is highly correlated with the low-frequency factor of economic activity. In regressions that quantify the output effects of the components, we find that one-way clustered standard errors often lead to size distortions, and that an additive fixed effect specification does not adequately control for common time effects. Using bootstrap inference to assess estimates from our preferred interactive fixed effect specification, we only find a marginally significant effect of the high-frequency component on growth in the U.S. panel. However, the effect of the low-frequency component is significant in the European and International panels, suggesting that the increase in the low-frequency temperature component over the post-1980 period is associated with a reduction in economic growth of approximately 1.3 percentage points. The findings are corroborated by time series estimation using data at the unit and national levels.

econ.GN↗