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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …
Persistent link: https://www.econbiz.de/10011302148
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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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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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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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Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
Kiviet, J. F. - 2012
Persistent link: https://www.econbiz.de/10010190991
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Nearly unbiased estimationin dynamic panel data models
Carree, Martin Anthony - 2002
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
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...
Persistent link: https://www.econbiz.de/10010339446
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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - 2003
statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U …
Persistent link: https://www.econbiz.de/10011332818
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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
Persistent link: https://www.econbiz.de/10001718452
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The empirical economic growth literature
Florax, Raymond J. G. M.; Groot, Henri L. F. de; … - 2002
The empirical economic growth literature is criticized for its lack ofrobustness. For different definitions of robustness, conclusions vary from 'almost everycorrelation is fragile' to 'a substantial number of explanatory variables are robust.' Were-analyze the empirical results of the economic...
Persistent link: https://www.econbiz.de/10011326970