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A correction function approach to solve the incidental parameter problem
Li, Guangjie; Leon-Gonzalez, Roberto - 2009
under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …
Persistent link: https://www.econbiz.de/10003817215
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Taking a new contour: A novel approach to panel unit root tests
Chang, Yoosoon - In: Journal of Econometrics 169 (2012) 1, pp. 15-28
to invent tools and methodologies for effective inferences in panel unit root models. Simulations show that our approach …
Persistent link: https://www.econbiz.de/10010574097
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Inference on factor structures in heterogeneous panels
Castagnetti, Carolina; Rossi, Eduardo; Trapani, Lorenzo - In: Journal of Econometrics 184 (2015) 1, pp. 145-157
This paper develops an estimation and testing framework for a stationary large panel model with observable regressors …
Persistent link: https://www.econbiz.de/10011077600
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Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data
Bartolucci, Francesco; Belotti, Federico; Peracchi, Franco - In: Journal of Econometrics 184 (2015) 1, pp. 111-123
Recent literature on panel data emphasizes the importance of accounting for time-varying unobservable individual … used for any generalized linear model for panel data that admits a sufficient statistic for the individual effect. This is …
Persistent link: https://www.econbiz.de/10011077606
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of Econometrics 180 (2014) 1, pp. 30-48
Time invariance of factor loadings is a standard assumption in the analysis of large factor models. Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero). In this paper we develop a new testing procedure to detect big breaks in these loadings at either...
Persistent link: https://www.econbiz.de/10011052242
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The power of PANIC
Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 495-509
The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to …
Persistent link: https://www.econbiz.de/10011190726
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Cross-sectional averages versus principal components
Westerlund, Joakim; Urbain, Jean-Pierre - In: Journal of Econometrics 185 (2015) 2, pp. 372-377
In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the...
Persistent link: https://www.econbiz.de/10011190733
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The effect of recursive detrending on panel unit root tests
Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 453-467
This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is …
Persistent link: https://www.econbiz.de/10011190734
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The small sample properties of Indirect Inference in testing and estimating DSGE models
Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2018
Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both with different variable combinations and descriptive...
Persistent link: https://www.econbiz.de/10011886113
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Testing DSGE models by indirect inference : a survey of recent findings
Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2018
We review recent findings in the application of Indirect Inference to DSGE models. We show that researchers should tailor the power of their test to the model under investigation in order to achieve a balance between high power and model tractability; this will involve choosing only a limited...
Persistent link: https://www.econbiz.de/10011886800