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Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors
Kripfganz, Sebastian - 2015
We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors...
Persistent link: https://www.econbiz.de/10013016951
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Weak and Strong Cross Section Dependence and Estimation of Large Panels
Chudik, Alexander - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10013155822
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The Perils of Aggregating Foreign Variables in Panel Data Models
Ca' Zorzi, Michele - 2015
contributions in the context of static panel data models. The first is to show under what conditions the aggregation of foreign …
Persistent link: https://www.econbiz.de/10013036825
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10011605146
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A Panel VAR Analysis of Macro-Financial Imbalances in the EU
Comunale, Mariarosaria - 2017
financial (or output) gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over …
Persistent link: https://www.econbiz.de/10012961964
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Analysing and Forecasting Price Dynamics Across Euro Area Countries and Sectors : A Panel VAR Approach
Dees, Stephane - 2014
This paper uses a panel VAR (PVAR) approach to estimating, analysing, and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10013049274
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Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Pesaran, M. Hashem - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10013143880
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Dynamic Nonparametric Clustering of Multivariate Panel Data
Custodio João, Igor; Lucas, Andre; Schwaab, Bernd; … - 2023
We introduce a new dynamic clustering method for multivariate panel data char-acterized by time-variation in cluster … current center of their previous cluster as-signment. This links consecutive cross-sections in the panel together … settings. The method is illustrated using a multivariate panel of four accounting ratios for 28 large European insurance firms …
Persistent link: https://www.econbiz.de/10014257567
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Spatial dependence in commercial property prices: micro evidence from the Netherlands
Özyurt, Selin - 2014
Following a hedonic framework, this paper constructs various transaction-based commercial property price indicators for the Netherlands. Using quarterly data from the Investment Property Databank (IPD), the analysis covers a total of 10,000 listed properties over the period 2001-2011. The study...
Persistent link: https://www.econbiz.de/10011605672
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Spatial Dependence in Commercial Property Prices : Micro Evidence from the Netherlands
Özyurt, Selin - 2014
Following a hedonic framework, this paper constructs various transaction-based commercial property price indicators for the Netherlands. Using quarterly data from the Investment Property Databank (IPD), the analysis covers a total of 10,000 listed properties over the period 2001-2011. The study...
Persistent link: https://www.econbiz.de/10013060537