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The US Inflation-Unemployment Tradeoff: Methodological Issues and Further Evidence

Karanassou, Marika; Sala, Hector - School of Economics and Finance, Queen Mary - 2009

inflation/unemployment responses to money growth shocks. SVAR (structural vector autoregression) and GMM (generalised method of …

Persistent link: https://www.econbiz.de/10005008807

GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and …

Persistent link: https://www.econbiz.de/10005106329

Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

heterogenous distributions. We compare both analytically and by means of Monte Carlo simulations the QML estimators with the GMM … the AB GMM estimator, the QML estimators for ρ only suffer from a weak instruments problem when ρ is close to one if the … small bias when ρ is close to one. In contrast, the AB GMM estimator is inconsistent when ρ is equal to one, and is severly …

Persistent link: https://www.econbiz.de/10005106335

Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models

Kapetanios, George - School of Economics and Finance, Queen Mary - 2003

A prominent class of nonlinear time series models are threshold autoregressive models. Recently work by Kapetanios (2000) has shown in a Monte Carlo setting that the superconsistency property of the threshold parameter estimates does not translate to superior performance in small samples....

Persistent link: https://www.econbiz.de/10005106346

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

Kapetanios, George; Marcellino, Massimiliano - School of Economics and Finance, Queen Mary - 2006

experiments and empirical applications highlight the relevance and simplicity of Factor-GMM estimation. …

Persistent link: https://www.econbiz.de/10005106388

On the Estimation of Panel Regression Models with Fixed Effects

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2002

widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …. Next, we will derive, justify, and compare restricted Fixed Effects GMM and (Q)ML estimators for this model. We find that …

Persistent link: https://www.econbiz.de/10005106431

Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2000

Distance Estimator which permits an analytic comparison between the CMLE for the ARFE(1) model and the GMM estimators that have … been considered in the literature. The CMLE is shown to be asymptotically less efficient than the most efficient GMM … unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel data models that …

Persistent link: https://www.econbiz.de/10005106467

Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2002

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the First Difference Maximum Likelihood Estimator and we...

Persistent link: https://www.econbiz.de/10005106468