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Parametric covariance matrix modeling in Bayesian panel regression

Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005

illustrated. -- Bayesian panel regression ; parametric covariance ; model selection …

Persistent link: https://www.econbiz.de/10002595455

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

normality is established for the consistent subsets. -- Panel data ; serial correlation ; random effects … correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic …

Persistent link: https://www.econbiz.de/10001600056

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation …. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the … for determining the orders of serial correlation as well as the importance of time and individual effects. The methods are …

Persistent link: https://www.econbiz.de/10001600058

Testing for unit roots in nonlinear dynamic heterogeneous panels

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

Persistent link: https://www.econbiz.de/10002595402

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

Persistent link: https://www.econbiz.de/10002577852

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

Persistent link: https://www.econbiz.de/10001600059

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...

Persistent link: https://www.econbiz.de/10001693105

Testing constancy of the error covariance matrix in vector models

Eklund, Bruno (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. January 18, 2006

-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change …

Persistent link: https://www.econbiz.de/10001924637

Financial liberalization, bank crises and growth : assessing the links

Bonfiglioli, Alessandra (contributor); … - 2004 - [Elektronische Ressource]

affects growth directly. The empirical analysis is performed through GMM dynamic panel data estimations on a panel of 90 … development ; institutions ; dynamic panel data …

Persistent link: https://www.econbiz.de/10002380051

Dynamics of technical efficiency and productivity change under central planning : the Romainian cement industry 1966 - 1989

Cotfas, Mihai (contributor); Heshmati, Almas (contributor); … - 2000 - [Elektronische Ressource], Rev. October 2000

-varying efficiency ; panel data ; cement industry ; Romania …

Persistent link: https://www.econbiz.de/10001600014