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Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients

Aquaro, Michele - 2015

This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … sample properties for panels with moderate time dimensions and irrespective of the number of cross section units in the panel …

Persistent link: https://www.econbiz.de/10013019407

Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Badinger, Harald - 2014

panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error …

Persistent link: https://www.econbiz.de/10013051285

A Generalized Spatial Panel Data Model with Random Effects

Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2021

This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated …

Persistent link: https://www.econbiz.de/10013315861

The Determinants of Economic Growth in European Regions

Cuaresma, Jesús Crespo - 2009

We use Bayesian Model Averaging (BMA) to evaluate the robustness of determinants of economic growth in a new dataset of 255 European regions in the 1995-2005 period. We use three different specifications based on (1) the cross-section of regions, (2) the cross-section of regions with country...

Persistent link: https://www.econbiz.de/10012765299

Unraveling the Fortunates of the Fortunate : An Iterative Bayesian Model Averaging (IBMA) Approach

Eicher, Theo S. - 2007

We investigate country heterogeneity in cross-country growth regressions. In contrast to the previous literature that focuses on low-income countries, this study also highlights growth determinants in high-income (OECD) countries. We introduce Iterative Bayesian Model Averaging (IBMA) to address...

Persistent link: https://www.econbiz.de/10012777687

On Identification of Bayesian DSGE Models

Koop, Gary - 2011

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...

Persistent link: https://www.econbiz.de/10013126000

Jointness of Growth Determinants

Doppelhofer, Gernot; Weeks, Melvyn - 2021

This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...

Persistent link: https://www.econbiz.de/10013317072

Robust Growth Determinants

Doppelhofer, Gernot - 2011

This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsimonious mixture modeling that allows for fat-tailed errors...

Persistent link: https://www.econbiz.de/10013129859

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Hayakawa, Kazuhiko - 2014

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

Persistent link: https://www.econbiz.de/10013052017

Consistent Estimation of Linear Panel Data Models with Measurement Error

Meijer, Erik - 2015

Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context …

Persistent link: https://www.econbiz.de/10013029491