for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …

requires only panel data on consumption and income. Using the Panel Study of Income Dynamics, we find-in contrast to the …

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … results are shown to extend to the panel data GMM estimators. … with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced …

moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We … dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … compare a few implementations, including GMM sytem estimators with alternative weight matrices, and illu! strate that an …

dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the …

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel … exogeneity is found tobe rather robliSt, showing often smaller root mean squared errors than GMM. …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …