Narrow search
Showing 1 - 10 of 170
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Testing macro models by indirect inference : a survey for users
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - 2015
With Monte Carlo experiments on models in widespread use we examine the performance of indirect inference (II) tests of DSGE models in small samples. We compare these tests with ones based on direct inference (using the Likelihood Ratio, LR). We find that both tests have power so that a...
Persistent link: https://www.econbiz.de/10011317836
Cover Image
Comparing Indirect Inference and likelihood testing : asymptotic and small sample results
Meenagh, David; Minford, Patrick; Wickens, Michael R.; … - 2015
Indirect Inference has been found to have much greater power than the Likelihood Ratio in small samples for testing DSGE models. We look at asymptotic and large sample properties of these tests to understand why this might be the case. We find that the power of the LR test is undermined when...
Persistent link: https://www.econbiz.de/10011317842