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Firm Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years
Hall, Bronwyn H.; Mairesse, Jacques; Mulkay, Benoit; … - EconWPA - 1999
correction, traditional between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus …
Persistent link: https://www.econbiz.de/10005408002
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A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model
Pfaffermayr, Michael - In: Econometrics 2 (2014) 4, pp. 151-168
this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …
Persistent link: https://www.econbiz.de/10011031444
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Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable
Kao, Chihwa - EconWPA - 1997
In the first half of the paper we study spurious regressions in panel data when the cross-section and time-series dimensions are comparable. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. We show that the LSDV...
Persistent link: https://www.econbiz.de/10005407888
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Development of Ownership Structure and its Effect on Performance: Czech Firms from Mass Privatization
Kocenda, Evzen - EconWPA - 2002
This paper works with a broad data sample of Czech voucher-privatized firms during 1996 - 1999. It analyzes the development of ownership structure and consequently its effect on a firm's performance Ownership concentration had been quite high in 1996 and steadily increased. The single largest...
Persistent link: https://www.econbiz.de/10005556293
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On the power of panel cointegration tests: A Monte Carlo comparison. Economics Letters, 80(1):105-111.
Gutierrez, Luciano - EconWPA - 2002
This paper enlarges on Karlsoon and Löthgreen’s (2000) results on panel unit root tests to panel cointegration tests. We show that for homogeneous panel, Kao’s (1999) tests have higher (lower) power than Pedroni’s (1999) tests when a small-T (high-T) number of observations are included in...
Persistent link: https://www.econbiz.de/10005119080
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Tests for cointegration in panels with regime shifts
Gutierrez, Luciano - EconWPA - 2005
In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the alternative hypothesis of cointegration, while...
Persistent link: https://www.econbiz.de/10005119193
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GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
Chen, Willa; Deo, Rohit - EconWPA - 2005
Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …
Persistent link: https://www.econbiz.de/10005556285
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Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments
Wang, Jiahui; Zivot, Eric - EconWPA - 1996
In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...
Persistent link: https://www.econbiz.de/10005556384
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Periodic Properties of Interpolated Time Series
Dezhbakhsh, Hashem; Levy, Daniel - EconWPA - 2005
Although linearly interpolated series are often used in economics, little has been done to examine the effects of interpolation on time series properties and on statistical inference. We show that linear interpolation of a trend tationary series superimposes a ‘periodic’ structure on the...
Persistent link: https://www.econbiz.de/10005407951
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PROTECTION OF PRIVACY THROUGH MICROAGGREGATION
Feige, Edgar L.; Watts, Harold W. - EconWPA - 2005
A proposal for maintaining privacy protection in large data bases by the use of partially aggregated data instead of the original individual data. Proper micro aggregation techniques can serve to protect the confidential nature of the individual data with minimumal information loss....
Persistent link: https://www.econbiz.de/10005556264