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A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
Werker, Bas J.M.; Hallin, M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2011
We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size,...
Persistent link: https://www.econbiz.de/10011092415
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A Two-Step First Difference Estimator for a Panel Data Tobit Model under Conditional Mean Independence Assumptions
Kalwij, A.S. - Tilburg University, Center for Economic Research - 2004
This study develops a two-step estimator for a panel data Tobit model based on taking first-differences of the equation of interest, under conditional mean independence assumptions.The necessary correction terms are non-standard and a substantial part is therefore devoted to the formal...
Persistent link: https://www.econbiz.de/10011092714
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A Panel Data Model for Subjective Information on Household Income Growth
Das, Marcel; van soest, arthur - Tilburg University, Center for Economic Research - 1996
Subjective expectations about future income changes are analyzed, using household panel data.The models used are extensions of existing binary choice panel data models to the case of ordered response.We consider both random and fixed individual effects.The random effects model is estimated by...
Persistent link: https://www.econbiz.de/10011091314
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GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134)
Cizek, Pavel; Jacobs, J.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2015
The three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian and Prucha (2007), which corrects for spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one-period lag of the dependent variable as additional...
Persistent link: https://www.econbiz.de/10011144455
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GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)
Cizek, Pavel; Jacobs, J.P.A.M.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2011
We extend the three-step generalized methods of moments (GMM) approach of Kapoor et al. (2007), which corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent variable as additional explanatory variables. Combining...
Persistent link: https://www.econbiz.de/10011124438
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Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors
Jacobs, J.P.A.M.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2009
We extend the three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian, and Prucha (2007), which corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent variable as additional explanatory...
Persistent link: https://www.econbiz.de/10011090432
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Household Commodity Demand and Demographics in the Netherlands : A Micro-Economic Analysis
Kalwij, A.S.; Alessie, R.J.M.; Fontein, P.F. - Tilburg University, Center for Economic Research - 1997
We investigate the effects of demographics, household expenditure and female employment on the allocation of household expenditure to consumer goods. For this purpose we estimate an Almost Ideal Demand System based on Dutch micro data. We find that interactions between household expenditure and...
Persistent link: https://www.econbiz.de/10011092796
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An Afriat Theorem for the Collective Model of Household Consumption
Cherchye, L.J.H.; de Rock, B.; Vermeulen, F.M.P. - Tilburg University, Center for Economic Research - 2008
collective consumption model, while accounting for general (possibly non-convex) individual preferences. We establish a … nature of consumption externalities (positive or negative) in the intra-household allocation process is non-testable. The … same non-testability conclusion holds for privateness (with or without externalities) or publicness of consumption. By …
Persistent link: https://www.econbiz.de/10011092805
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A Test for Anchoring and Yea-Saying in Experimental Consumption Data
van soest, arthur; Hurd, M. - Tilburg University, Center for Economic Research - 2004
-ended question on the amount of total family consumption - with follow-up unfolding brackets (of the form: is consumption $X or more …
Persistent link: https://www.econbiz.de/10011091759
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Intertemporal Consumption with Directly Measured Welfare Functions and Subjective Expectations
van soest, arthur; Kapteyn, A.; Kleinjans, K. - Tilburg University, Center for Economic Research - 2008
Euler equation estimation of intertemporal consumption models requires many, often unverifiable assumptions. These … expectations have predictive power for the variation in consumption across households. Furthermore, estimates of the intertemporal …
Persistent link: https://www.econbiz.de/10011092114