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The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … explain the upward trend. To correct for that, we extend the panel model (a gravity model) by including a time trend that may …

Persistent link: https://www.econbiz.de/10011334328

The weak instrument problem of the system GMM estimator in dynamic panel data models

Bun, Maurice J. G.; Windmeijer, Frank - 2009

Persistent link: https://www.econbiz.de/10003913186

The weak instrument problem of the system GMM estimator in dynamic panel data models

Bun, Maurice J. G.; Windmeijer, Frank - 2009

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …

Persistent link: https://www.econbiz.de/10011379149

Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix

Bun, Maurice J. G. - 2001

) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models …

Persistent link: https://www.econbiz.de/10011313930

The accuracy of inference in small samples of dynamic panel data models

Bun, Maurice J. G.; Kiviet, J. F. - 2001

Through Monte Carlo experiments the small sample behavior is examinedof various inference techniques for dynamic panel …

Persistent link: https://www.econbiz.de/10011313931

The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models

Bun, Maurice J. G.; Kiviet, J. F. - 2002

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel …

Persistent link: https://www.econbiz.de/10011327521

On the diminishing returns of higher-order terms in asymptotic expansions of bias

Bun, Maurice J. G.; Kiviet, J. F. - 2002

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be...

Persistent link: https://www.econbiz.de/10011327523

Has the Euro increased trade?

Bun, Maurice J. G.; Klaassen, Franc - 2002

-effect directly from data that include EMU observations. Using a dynamic panel model for annual bilateral exports, we find that the …

Persistent link: https://www.econbiz.de/10011327839

The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models

Bun, Maurice J. G.; Kiviet, J. F. - 2002

Persistent link: https://www.econbiz.de/10001718452

Has the Euro increased trade?

Bun, Maurice J. G.; Klaassen, Franc - 2002

Persistent link: https://www.econbiz.de/10001718554