Similar Search Results

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

A time-space dynamic panel data model with spatial moving average errors

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the...

Persistent link: https://www.econbiz.de/10011872320

Two-stage least squares random forests with an application to Angrist and Evans (1998)

Biewen, Martin; Kugler, Philipp - 2020

We develop the case of two-stage least squares estimation (2SLS) in the general framework of Athey et al. (Generalized Random Forests, Annals of Statistics, Vol. 47, 2019) and provide a software implementation for R and C++. We use the method to revisit the classic application of instrumental...

Persistent link: https://www.econbiz.de/10012269068

Econometric models of fertility

Miranda, Alfonso; Trivedi, Pravin K. - 2020

This paper reviews some key contributions to econometric analysis of human fertility in the last 20 years, with special … fertility. Structural models that embed causal mechanisms explicitly are better suited for this objective. We start with a … description of the subject matter, including a brief review of existing theories of fertility behaviour and a detailed discussion …

Persistent link: https://www.econbiz.de/10012237902

Two-stage least squares random forests with a replication of angrist and evans (1998)

Biewen, Martin; Kugler, Philipp - 2020

Persistent link: https://www.econbiz.de/10012424219

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

Estimating the smoothing parameter in the so-called Hodrick-Prescott Filter

Schlicht, Ekkehart (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001948511

Intercept estimation in nonlinear selection models

Arulampalam, Wiji; Corradi, Valentina; Gutknecht, Daniel - 2021

We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identifed. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal...

Persistent link: https://www.econbiz.de/10012518068

VC : a method for estimating time-varying coefficients in linear models

Schlicht, Ekkehart - 2020

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...

Persistent link: https://www.econbiz.de/10012161405

Spatial and temporal diffusion of house prices in the UK

Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi - 2010

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

Persistent link: https://www.econbiz.de/10003934196

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