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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …
Persistent link: https://www.econbiz.de/10012908711
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Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …
Persistent link: https://www.econbiz.de/10013292495
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A Generalized Poisson-Pseudo Maximum Likelihood Estimator
Kwon, Ohyun; Yoon, Jangsu; Yotov, Yoto V. - 2022
We propose a Generalized Poisson-Pseudo Maximum Likelihood (G-PPML) estimator that relaxes the PPML estimator’s assumption that the dependent variable’s conditional variance is proportional to its conditional mean. Instead, we employ an iterated Generalized Method of Moments (iGMM) to...
Persistent link: https://www.econbiz.de/10014264455
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Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?
Angelini, Giovanni - 2020
How large are government spending and tax multipliers? The fiscal proxy-SVAR literature provides heterogenous estimates, depending on which proxies - fiscal or non-fiscal - are used to identify fiscal shocks. We reconcile the existing estimates via a flexible vector autoregressive model that...
Persistent link: https://www.econbiz.de/10012827668
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Bayesian Estimation of Epidemiological Models : Methods, Causality, and Policy Trade-Offs
Arias, Jonas; Fernández-Villaverde, Jesús; Rubio … - 2021
We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to our approach is the use of sequential Monte Carlo methods to evaluate the likelihood of a generic epidemiological model. Once we have the likelihood, we specify priors and rely...
Persistent link: https://www.econbiz.de/10013235115
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Naturalization and Labor Market Performance of Immigrants in Germany
Riphahn, Regina T. - 2018
Naturalization may be a relevant policy instrument affecting immigrant integration in host-country labor markets. We study the effect of naturalization on labor market outcomes of immigrants in Germany. We apply recent survey data and exploit a reform of naturalization rules in an instrumental...
Persistent link: https://www.econbiz.de/10012908608
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Political Risk and Real Exchange Rate : What Can We Learn from Recent Developments in Panel Data Econometrics for Emerging and Developing Countries?
Bahmani‐Oskooee, Mohsen - 2019
Cross- Sectionally Augmented ARDL approach of Chudik and Pesaran (2015b), and the panel threshold estimation of Chudik et al …
Persistent link: https://www.econbiz.de/10012892145
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Revisiting Time as a Trade Barrier : Evidence from a Panel Structural Gravity Model
Oberhofer, Harald - 2019
trade using a theory-consistent structural gravity model. We exploit a rich panel data set including domestic trade flows …
Persistent link: https://www.econbiz.de/10012892158
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Do Immigrants Affect Crime? Evidence from Panel Data for Germany
Maghularia, Rita - 2019
The paper analyses the empirical relationship between immigrants and crime using panel data for 391 German … administrative districts between 2003 and 2016. Employing different standard panel estimation methods, we show that there is no …, omitted variables and spatial correlation. Furthermore, taking advantage of the panel-structure of the data set we employ an …
Persistent link: https://www.econbiz.de/10012867015
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A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
Pesaran, M. Hashem; Xie, Yimeng - 2021
result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample …
Persistent link: https://www.econbiz.de/10013215800