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Identifying reduced-form relations with panel data

Vollebergh, Herman R. J.; Melenberg, Bertrand; … - 2007 - This version: September 13, 2007

The literature that tests for U-shaped relationships using panel data, such as those between pollution and income or …

Persistent link: https://www.econbiz.de/10011372978

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

Semiparametric identification in panel data discrete response models

Aristodemou, Eleni - 2018

This paper studies semiparametric identification in linear index discrete response panel data models with fixed effects …. Departing from the classic binary response static panel data model, this paper examines identification in the binary response … dynamic panel data model and the ordered response static panel data model. It is shown that under mild distributional …

Persistent link: https://www.econbiz.de/10011895610

Joint modelling and estimation of global and local cross-sectional dependence in large panels

Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021

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

Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix

Bun, Maurice J. G. - 2001

) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models …

Persistent link: https://www.econbiz.de/10011313930

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

Nearly unbiased estimation in dynamic panel data models with exogenous variables

Carree, Martin Anthony - 2002

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This …

Persistent link: https://www.econbiz.de/10011325972

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

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

A new view on panel econometrics : is probit feasible after all?

Praag, Bernard M. S. van - 2015

Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects … Section 4 we demonstrate that in this extended setup Probit - estimation on panel data sets does not pose a specific problem …

Persistent link: https://www.econbiz.de/10011337153