Showing 1 - 10 of 199
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …
Persistent link: https://www.econbiz.de/10011297557
This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data …
Persistent link: https://www.econbiz.de/10011411728
panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …
Persistent link: https://www.econbiz.de/10011823348
This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …
Persistent link: https://www.econbiz.de/10011650378
We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under … demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the …
Persistent link: https://www.econbiz.de/10011650477
work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …
Persistent link: https://www.econbiz.de/10011650493
This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …
Persistent link: https://www.econbiz.de/10012160749
This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …
Persistent link: https://www.econbiz.de/10012025649
This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …
Persistent link: https://www.econbiz.de/10012025781
In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error …
Persistent link: https://www.econbiz.de/10013459498