than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

estimate a panel data model where immigrants can choose whether to stay or leave a country. The model is estimated using the … German Socio-Economic Panel (GSOEP). Outmigrants are found to have significantly lower labor market earnings and work …

In recent years a number of panel estimators have been suggested for sample selection models, where both the selection … females, using a panel of twelve years. All these estimators rely on the assumption of strict exogeneity of regressors in the … the estimation methods discussed. …

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time …

estimation of the popular linear fixed effects panel data model, and to supply Stata code for it. In an application from the …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

estimation efficiency while properly tackling the potential bias due to unobserved individual characteristics. We propose an … clean the bias in the unpaired sample. In a second step, corrected unpaired observations are used jointly with panel data …. This reduces the standard errors of the estimation coefficients and might increase their significance as well, otherwise …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …