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An econometric approach to the estimation of multi-level models

Yang, Yimin; Schmidt, Peter - In: Journal of econometrics 220 (2021) 2, pp. 532-543

Persistent link: https://www.econbiz.de/10012618588

Likelihood-based estimation in a panel setting : robustness, redundancy and validity of copulas

Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10003892661

Consistent estimation of the fixed effects stochastic frontier model

Chen, Yi-Yi; Schmidt, Peter; Wang, Hung-jen - In: Journal of econometrics 181 (2014) 2, pp. 65-76

Persistent link: https://www.econbiz.de/10010473360

Estimation of a panel data model with parametric temporal variation in individual effects

Han, Chirok; Orea, Luis; Schmidt, Peter - In: Journal of econometrics 126 (2005) 2, pp. 241-267

Persistent link: https://www.econbiz.de/10002647754

GMM estimation of linear panel data models with time-varying individual effects

Ahn, Seung Chan; Lee, Young Hoon; Schmidt, Peter - In: Journal of econometrics 101 (2001) 2, pp. 219-255

Persistent link: https://www.econbiz.de/10001554897

Panel data models with multiple time-varying individual effects

Ahn, Seung Chan; Lee, Young Hoon; Schmidt, Peter - In: Journal of econometrics 174 (2013) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10009737238

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...

Persistent link: https://www.econbiz.de/10009612026

A test of the null of integer integration against the alternative of fractional integration

Cho, Cheol-Keun; Amsler, Christine Elaine; Schmidt, Peter - In: Journal of econometrics 187 (2015) 1, pp. 217-237

Persistent link: https://www.econbiz.de/10011498931

Further evidence on the robustness of the Tobit estimator to heteroskedasticity

Arabmazar, Abbas; Schmidt, Peter - In: Journal of econometrics 17 (1981) 2, pp. 253-258

Persistent link: https://www.econbiz.de/10001853610