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On the returns to occupational qualification in terms of subjective and objective variables : a GEE-type approach to the estimation of two-equation panel models
Spieß, Martin (contributor) - 2006
This article proposes an estimation approach for panel models with mixed continuous and ordered categorical outcomes …
Persistent link: https://www.econbiz.de/10003304412
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Estimating gravity equations : to log or not to log?
Siliverstovs, Boriss (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003577720
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Correcting for self-selection based endogeneity in management research : a review and empirical demonstration
Clougherty, Joseph A.; Duso, Tomaso - 2015
Foundational to the discipline of management is the idea that organizational decisions are a function of expected outcomes; hence, the customary empirical approach to employ multivariate techniques that regress performance outcome variables on discrete measures of organizational choices (e.g.,...
Persistent link: https://www.econbiz.de/10010501252
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Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...
Persistent link: https://www.econbiz.de/10010488275
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Estimation of structural impulse responses : short-run versus long-run identifying restrictions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2017
There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...
Persistent link: https://www.econbiz.de/10011595499
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Heteroskedastic proxy vector autoregressions
Lütkepohl, Helmut; Schlaak, Thore - 2020 - This version: June 10, 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...
Persistent link: https://www.econbiz.de/10012234556
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Heteroskedastic proxy vector autoregressions : testing for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin; Lütkepohl, Helmut - 2022 - This version: May 2, 2022
We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is...
Persistent link: https://www.econbiz.de/10013198929
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Estimation of Generalized Entropy and Atkinson inequality indices from complex survey data
Biewen, Martin; Jenkins, Stephen - 2003 - This version: 11 April 2003
Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson inequality indices when estimated from complex survey data. It turns out that this method also greatly simplifies the calculations for the i.i.d. case when compared to previous...
Persistent link: https://www.econbiz.de/10011438447
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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Cappellari, Lorenzo (contributor);  … - 2006
for maximum simulated likelihood estimation. …
Persistent link: https://www.econbiz.de/10003327207
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Estimation of multinomial logit models with unobserved heterogeneity using maximum simulated likelihood
Haan, Peter (contributor); Uhlendorff, Arne (contributor) - 2006
technical implementation of the estimation routine and discuss its properties. Further, we compare our estimation routine to the … analysis we draw on multilevel data about schooling. Our empirical findings show that the estimation techniques lead to … approximately the same estimation results. The advantage of simulation over Gauss Hermite quadrature is a marked reduction in …
Persistent link: https://www.econbiz.de/10003304448