Narrow search
Showing 1 - 10 of 411
Cover Image
Exploiting information from singletons in panel data analysis : a GMM approach
Bruno, Randolph; Magazzini, Laura; Stampini, Marco - 2019
We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...
Persistent link: https://www.econbiz.de/10012034327
Cover Image
Rational addiction and time consistency : an empirical test
Piccoli, Luca; Tiezzi, Silvia - 2020
inconsistent preferences, where GMM estimators deal with errors in variables and unobserved heterogeneity. The results conform to …
Persistent link: https://www.econbiz.de/10012160910
Cover Image
Eggs when young, chicken when old : time consistency and addiction over the life cycle
Piccoli, Luca; Tiezzi, Silvia - 2023
This paper tests whether young and adult smokers have different time preferences, in particular with respect to time consistency. The recent introduction of Tobacco 21 law in the US were in part motivated by allegedly inconsistent time preferences of the young consumers. This research...
Persistent link: https://www.econbiz.de/10014326453
Cover Image
Aggregate-level migration studies as a tool for forecasting future migration streams
Fertig, Michael; Schmidt, Christoph M. - 2000
Assessing the migration potential and predicting future migration streams are among the most relevant, yet least well understood topics of migration research. The usual approach taken to address aggregate-level prediction problems is to fit ad hoc specifications to historical data, and to...
Persistent link: https://www.econbiz.de/10011336860
Cover Image
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
the finite sample behavior of the transformed maximum likelihood estimator and compare it with various GMM estimators … transformed likelihood estimator outperforms the GMM estimators in almost all cases. -- dynamic panels ; cross …This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10009545313
Cover Image
Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
Cover Image
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...
Persistent link: https://www.econbiz.de/10012305035
Cover Image
Estimation of productivity in Korean electric power plants : a semiparametric smooth coefficient model
Heshmati, Almas; Kumbhakar, Subal; Sun, Kai - 2013
This paper analyzes the impact of load factor, facility and generator types on the productivity of Korean electric power plants. In order to capture important differences in the effect of load policy on power output, we use a semiparametric smooth coefficient (SPSC) model that allows us to model...
Persistent link: https://www.econbiz.de/10009721346
Cover Image
Dynamic panel data models with irregular spacing : with applications to early childhood development
Millimet, Daniel L.; McDonough, Ian K. - 2013
With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well known. However, we show that these estimators breakdown when the data are irregularly spaced along the time dimension....
Persistent link: https://www.econbiz.de/10009739581
Cover Image
Estimating labor force joiners and leavers using a heterogeneity augmented two-tier stochastic frontier
Das, Tirthatanmoy; Polachek, Solomon W. - 2017
's error components are independent but not identically distributed. This leads to a complex nonlinear likelihood function …
Persistent link: https://www.econbiz.de/10011607620