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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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Estimation and inference in large heterogeneous panels with a multifactor error structure
Pesaran, Mohammad Hashem - 2004
This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …
Persistent link: https://www.econbiz.de/10010276157
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George; Pesaran, Mohammad Hashem - 2005
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …
Persistent link: https://www.econbiz.de/10010276160
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A Panel Data Model with Generalized Higher-Order Networks Effects
Baltagi, Badi H.; Ding, Sophia; Egger, Peter H. - 2021
this paper, we present a generalized panel model which accounts for two features: (i) three types of network effects on the …
Persistent link: https://www.econbiz.de/10013315048
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GM estimation of higher order spatial autoregressive processes in panel data error component models
Badinger, Harald; Egger, Peter - 2008
panel data error component model. We derive moment conditions to estimate the parameters of the higher order spatial …
Persistent link: https://www.econbiz.de/10010264361
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Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …
Persistent link: https://www.econbiz.de/10010264566
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Estimation and Inference in Spatial Models with Dominant Units
Pesaran, M. Hashem - 2020
In spatial econometrics literature estimation and inference are carried out assuming that the matrix of spatial or network connections has uniformly bounded absolute column sums in the number of units, n, in the network. This paper relaxes this restriction and allows for one or more units to...
Persistent link: https://www.econbiz.de/10012849715
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General diagnostic tests for cross section dependence in panels
Pesaran, Mohammad Hashem - 2004
based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data …
Persistent link: https://www.econbiz.de/10010276163
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Random coefficient panel data models
Hsiao, Cheng; Pesaran, Mohammad Hashem - 2004
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models. Keywords: random …
Persistent link: https://www.econbiz.de/10010276164
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Testing weak cross-sectional dependence in large panels
Pesaran, M. Hashem - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution. …
Persistent link: https://www.econbiz.de/10010281918