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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10010269313
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Exponent of cross-sectional dependence: Estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10010282124
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Real Time Econometrics
Pesaran, Mohammad Hashem; Timmermann, Allan - 2004
This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...
Persistent link: https://www.econbiz.de/10010276178
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Real Time Econometrics
Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004
This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...
Persistent link: https://www.econbiz.de/10005763536
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Variance estimation in a random coefficients model
Schlicht, Ekkehart; Ludsteck, Johannes - 2006
This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...
Persistent link: https://www.econbiz.de/10010267676
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VC - A Method For Estimating Time-Varying Coefficients in Linear Models
Schlicht, Ekkehart - 2020
. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time …
Persistent link: https://www.econbiz.de/10012180113
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Variance Estimation in a Random Coefficients Model
Schlicht, Ekkehart; Ludsteck, Johannes - Institute for the Study of Labor (IZA) - 2006
This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...
Persistent link: https://www.econbiz.de/10005566384
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The Determination of Wages and the Gender Wage Gap: A Survey
Kunze, Astrid - 2000
In this paper the extensive empirical literature on the gender wage gap is reviewed with particular attention given to the identification of the key parameters in the specified human capital wage regression models. This aspect has been of great importance in the literature chiefly for two...
Persistent link: https://www.econbiz.de/10010262401
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Econometrics of individual labor market transitions
Fougère, Denis; Kamionka, Thierry - 2005
This survey is devoted to the modelling and the estimation of reduced-form transition models, which have been … modelling of such processes using continuous-time (event-history) data. It also presents parametric and nonparametric estimation … procedures, and focuses on the treatment of unobserved heterogeneity. The second section deals with the estimation of markovian …
Persistent link: https://www.econbiz.de/10010267343
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On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?
Brücker, Herbert; Siliverstovs, Boriss - 2005
This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … period 1967-2001. Our results suggest that the choice of an estimation procedure has a substantial impact on the parameter …
Persistent link: https://www.econbiz.de/10010267584