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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

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel … well for panel data with a large number of cross-sectional units and a finite number of observations across time. …

Persistent link: https://www.econbiz.de/10010730130

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

Persistent link: https://www.econbiz.de/10010753478

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - In: Journal of Econometrics 181 (2014) 2, pp. 181-193

We propose new over-identifying restriction (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. The proposed tests do not require consistent estimation of the asymptotic covariance matrix and hence avoid choosing the bandwidth in nonparametric kernel...

Persistent link: https://www.econbiz.de/10010785290

Bootstrap Statistical Tests of Rank Determination for System Identification

Camba-Mendez, Gonzalo; Kapetanios, George - School of Economics and Finance, Queen Mary - 2002

Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...

Persistent link: https://www.econbiz.de/10005106312

GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and … the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano … doing inference. We also propose two LM type panel unit root tests. …

Persistent link: https://www.econbiz.de/10005106329

Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from …

Persistent link: https://www.econbiz.de/10005106335

Testing for Exogeneity in Nonlinear Threshold Models

Kapetanios, George - School of Economics and Finance, Queen Mary - 2004

Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...

Persistent link: https://www.econbiz.de/10005106400

Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2002

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects …. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the … conditional AR(1) panel model with fixed effects under various asymptotic plans. Then we show that when N tends to infinity but T …

Persistent link: https://www.econbiz.de/10005106468

Efficient minimum distance estimation with multiple rates of convergence

Antoine, Bertille; Renault, Eric - In: Journal of Econometrics 170 (2012) 2, pp. 350-367

This paper extends the asymptotic theory of GMM inference to allow sample counterparts of the estimating equations to converge at (multiple) rates, different from the usual square-root of the sample size. In this setting, we provide consistent estimation of the structural parameters. In...

Persistent link: https://www.econbiz.de/10010594970