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Testing weak cross-sectional dependence in large panels

Pesaran, M. Hashem - 2012

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … for values of α in the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains … cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

Persistent link: https://www.econbiz.de/10009534988

Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

Persistent link: https://www.econbiz.de/10003355571

Selection correction in panel data models : an application to labour supply and wages

Dustmann, Christian; Rochina Barrachina, María E. - 2000

In recent years a number of panel estimators have been suggested for sample selection models, where both the selection … females, using a panel of twelve years. All these estimators rely on the assumption of strict exogeneity of regressors in the …

Persistent link: https://www.econbiz.de/10011335238

A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Persistent link: https://www.econbiz.de/10003824296

Is inconsistent reporting of self-assessed health persistent and systematic? : evidence from the UKHLS

Davillas, Apostolos; Silva, Víctor Hugo de Oliveira; … - 2022

We capitalise on an opportunity in the UK Household Longitudinal Study, which asks respondents the same SAH question with identical wording two times. This is done once with a self-completion and once with an open interview mode within the same household interview over four waves. We estimate...

Persistent link: https://www.econbiz.de/10012886912

Immigrants' economic performance and selective outmigration: diverging predictions from survey and administrative data

Bellemare, Charles; Kyui, Natalia; Lacroix, Guy - 2021

We show that survey and administrative data-based estimates of a panel data model of earnings, employment, and …

Persistent link: https://www.econbiz.de/10012492315

Do business visits cause productivity growth?

Tani, Massimiliano; Joyeux, Roselyne - 2013

The production and diffusion of knowledge have increasingly been seen as potential causes of the observed international differences in total factor productivity and, in turn, as possible sources of economic growth. This paper presents the results of a causality study between business visits and...

Persistent link: https://www.econbiz.de/10010228788

Evaluating the role of individual specific heterogeneity in the relationship between subjective health assessments and income

Fernández-Val, Iván; Savchenko, Yevgeniya; Vella, Francis - 2013

recently developed methods in the non linear panel data literature to account for the endogeneity of income and the presence of … individual heterogeneity. We examine a panel data set of individuals living in Australia and find no statistically significant … effects, comprising both observed and unobserved time invariant factors, is primarily responsible for the variation across …

Persistent link: https://www.econbiz.de/10010196043

Sample attrition in the Canadian Survey of Labor and Income Dynamics

Boudarbat, Brahim; Grenon, Lee - 2013

first wave of the 1996-2001 panel. The main findings of the paper are that attrition is not random. Attritors and non … on average higher than wages that would be observed if all the individuals initially selected in the panel remained in … the sample. -- panel data ; attrition ; selection ; SLID ; Canada …

Persistent link: https://www.econbiz.de/10009727771

Maximum likelihood estimation and lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors : an application to hedonic housing prices...

Baltagi, Badi H.; Bresson, Georges - 2010

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

Persistent link: https://www.econbiz.de/10009013035