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dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …
Persistent link: https://www.econbiz.de/10011348362
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
The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel …
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dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the …
Persistent link: https://www.econbiz.de/10011325971
In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the heading of item response models (IRM). In Econometrics,...
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We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global crosssectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network structures....
Persistent link: https://www.econbiz.de/10012421000