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Generalized Moments Estimation for Panel Data
Druska, Viliam; Horrace, William C. - 2021
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10013232767
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Phillipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10013044978
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Small Sample Properties of Generalized Method of Moments Based Wald Tests
Burnside, A. Craig; Eichenbaum, Martin - 2021
asymptotic distribution theory leads one to reject joint hypothesis tests far too often. We argue that the source of the problem …
Persistent link: https://www.econbiz.de/10013224900
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Using Weights to Adjust for Sample Selection When Auxiliary Information is Available
Nevo, Aviv - 2001
Dutch Transportation Panel, in which refreshment draws were taken from the population of interest in order to deal with … heavy attrition of the original panel. I show how these additional samples can be used to adjust for sample selection …
Persistent link: https://www.econbiz.de/10014122994
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Small Sample Properties of GMM for Business Cycle Analysis
Christiano, Lawrence J.; den Haan, Wouter J. - 2022
indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of …
Persistent link: https://www.econbiz.de/10013310180
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Forecasting with a Panel Tobit Model
Liu, Laura - 2019
We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large … and residential real estate loans, comparing various versions of the panel Tobit model.Institutional subscribers to the …
Persistent link: https://www.econbiz.de/10012857740
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Panel Data Hedonics : Rosen's First Stage as a "Sufficient Statistic"
Banzhaf, H. Spencer - 2015
characteristics, but face endogeneity problems for estimating non-marginal welfare measures. I show that when panel data on household …
Persistent link: https://www.econbiz.de/10013017083
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An Analysis of Sample Attrition in Panel Data : The Michigan Panel Study of Income Dynamics
Fitzgerald, John M.; Gottschalk, Peter; Moffitt, Robert A. - 2021
By 1989 the Michigan Panel Study on Income Dynamics (PSID) had experienced approximately 50 percent sample loss from …
Persistent link: https://www.econbiz.de/10013216883
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Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs
Pakes, Ariel; Griliches, Zvi - 2021
distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel …
Persistent link: https://www.econbiz.de/10013218833