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CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects

Vogt, Michael; Walsh, Christopher; Linton, Oliver B. - 2022

Interactive fixed effects are a popular means to model unobserved heterogeneity in panel data. Models with interactive …-dimensional panel data models with interactive fixed effects. Our estimator is based on similar ideas as the very popular common …

Persistent link: https://www.econbiz.de/10014077401

A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects

Koerber, Lena - 2013

This paper develops methodology for semiparametric panel data models in a setting where both the time series and the …

Persistent link: https://www.econbiz.de/10013088013

A Discrete Choice Model for Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance

Boneva, Lena - 2017

What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5,610 issuances by US firms over the period from 1990 to 2014. Identification of this effect is complicated because of unobserved, common shocks such...

Persistent link: https://www.econbiz.de/10012964789

A Discrete Choice Model for Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance

Boneva, Lena - 2016

identification of these effects is complicated by unobserved shocks such as a changing regulatory landscape or the global financial …

Persistent link: https://www.econbiz.de/10013002100

Classification of Nonparametric Regression Functions in Heterogeneous Panels

Vogt, Michael - 2015

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is …

Persistent link: https://www.econbiz.de/10013027846

GMM Estimation for High–Dimensional Panel Data Models

Cheng, Tingting; Dong, Chaohua; Gao, Jiti; Linton, Oliver B. - 2022

In this paper, we study a class of high dimensional moment restriction panel data models with interactive effects … size. This is a very general framework and includes many existing linear and nonlinear panel data models as special cases …

Persistent link: https://www.econbiz.de/10013289217

A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom

Atak, Alev; Linton, Oliver B.; Xiao, Zhijie - 2013

This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other … twenty six Meteorological Office stations. The data is an unbalanced panel. We allow the trend to evolve in a nonparametric …

Persistent link: https://www.econbiz.de/10014196245

A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation

Gao, Jiti; Linton, Oliver B.; Peng, Bin - 2022

In this paper, we consider a panel data model which allows for heterogeneous time trends at different locations. We … propose a new estimation method for the panel data model before we establish an asymptotic theory for the proposed estimation …

Persistent link: https://www.econbiz.de/10014082098

Semiparametric Estimation of Locally Stationary Diffusion Models

Koo, Bonsoo - 2010

This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators of all the unknown quantities based on long span data. Our estimation...

Persistent link: https://www.econbiz.de/10013135540

Semiparametric Estimation of Markov Decision Processes with Continuous State Space

Linton, Oliver B. - 2010

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

Persistent link: https://www.econbiz.de/10013135541