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Attrition in panel data and the estimation of dynamic labor markets models

Berg, Gerard J. van den; Lindeboom, Maarten - 1994

Persistent link: https://www.econbiz.de/10000151678

The accuracy of inference in small samples of dynamic panel data models

Bun, Maurice J. G.; Kiviet, J. F. - 2001

Through Monte Carlo experiments the small sample behavior is examinedof various inference techniques for dynamic panel …

Persistent link: https://www.econbiz.de/10011313931

On the diminishing returns of higher-order terms in asymptotic expansions of bias

Bun, Maurice J. G.; Kiviet, J. F. - 2002

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be...

Persistent link: https://www.econbiz.de/10011327523

The r package MitISEM : mixture of student-t distributions using importance sampling weighted expectation maximization for efficient and robust simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

Persistent link: https://www.econbiz.de/10009722972

Classical and Bayesian aspects of robust unit root inference

Hoek, Henk; Lucas, André; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000151638

Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010357912

On the practice of Bayesian time series models using gibbs sampling

Pooter, Michiel de; Segers, René; Dijk, Herman K. van - 2006

Persistent link: https://www.econbiz.de/10003383011

On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling … Panel Data model. We discuss issues involved when drawing Bayesian inference on regression parameters and variance …

Persistent link: https://www.econbiz.de/10011349180

Sampling properties of the Bayesian posterior mean with an application to WALS estimation

De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2020

Many statistical and econometric learning methods rely on Bayesian ideas, often applied or reinterpreted in a frequentist setting. Two leading examples are shrinkage estimators and model averaging estimators, such as weighted-average least squares (WALS). In many instances, the accuracy of these...

Persistent link: https://www.econbiz.de/10012176861

Combining panel data sets with attrition and refreshment samples

Hirano, Keisuke; Imbens, Guido; Ridder, Geert; Rubin, … - 1998

With panel data important issues can be resolved that can not beaddressed with cross--sectional data. A major drawback … from the original populationas replacements for units who have dropped out of the panel, aso--called refreshment sample … different results than models that assume that themissing data process is ignorable or conventional econometric modelsfor panel …

Persistent link: https://www.econbiz.de/10011283469