The analysis of football transfers is hampered by selectivity bias. In most empirical estimations, simple regression is used and selectivity is ignored. In this paper we propose an estimation method that corrects for sample selectivity and allows the use of more observations in a simple manner....

We analyze a class of linear regression models including interactions of endogenous regressors and exogenous covariates. We show that, under typical conditions regarding higher-order dependencies between endogenous and exogenous regressors, the OLS estimator of the coefficient of the interaction...

Prior research for constructing confidence intervals for an indirect effect has focused on a Wald statistic. In this paper, however, the inference problem is analyzed from a likelihood ratio (LR) perspective. When testing the null hypothesis $H_{0}:\ \alpha \beta =0$, the LR test statistic leads...

We analyze the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular, we consider Transformed Maximum Likelihood (TML) and Random effects Maximum Likelihood (RML) estimation. We show that TML and RML estimators are solutions to a cubic first-order...

We consider estimation of the economic model of crime exploiting instrumental variables techniques for panel data. We extend the empirical analysis of Cornwell and Trumbull (1994) and show that their instrumental variables are very weak. We propose an alternative identification strategy based on...

While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most effective instruments when these are obtained directly from unconditional rather than conditional moment assumptions. For instance, standard GMM counteracts that exogenous...

This paper analyzes a growing group of fixed T dynamic panel data estimators with a multi-factor error structure. We use a unified notational approach to describe these estimators and discuss their properties in terms of deviations from an underlying set of basic assumptions. Furthermore, we...

This paper considers the Panel Vector Autoregressive Models of order 1 (PVAR(1)) with possibly spatially dependent error terms. We prove that the cointegration testing procedure of Binder, Hsiao, and Pesaran (2005) is not valid due to the singularity of the corresponding Hessian matrices under...

We construct the large sample distributions of the OLS and GLS R^2’s of the second pass regression of the Fama-MacBeth (1973) two pass procedure when the observed proxy factors are minorly correlated with the true unobserved factors. This implies an unexplained factor structure in the first...

The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...