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Estimation of linear models from coarsened observations : a method of moments approach
Praag, Bernard M. S. van; Hop, J. Peter; Greene, William H. - 2024
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,...
Persistent link: https://www.econbiz.de/10015149529
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
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
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, Geert; Koopman, Siem Jan - 2012
Persistent link: https://www.econbiz.de/10009722706
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
is provided for the analysis of a large panel of macroeconomic time series. …
Persistent link: https://www.econbiz.de/10011373811
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Likelihood based inference for an identifiable fractional vector error correction model
Carlini, Federico; Łasak, Katarzyna - 2018
We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...
Persistent link: https://www.econbiz.de/10011928312
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On an estimation method for an alternative fractionally cointegrated model
Carlini, Federico; Łasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010348412
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Dynamic factor analysis in the presence of missing data
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2011
This paper concerns estimating parameters in a high-dimensional dynamic factormodel by the method of maximum likelihood. To accommodate missing data in theanalysis, we propose a new model representation for the dynamic factor model. Itallows the Kalman filter and related smoothing methods to...
Persistent link: https://www.econbiz.de/10011377572
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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
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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
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Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007
We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed …
Persistent link: https://www.econbiz.de/10011372520