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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators …
Persistent link: https://www.econbiz.de/10014202992
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10010324912
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The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment
Koetse, Mark J.; Florax, Raymond J.G.M.; de Groot, … - 2007
In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...
Persistent link: https://www.econbiz.de/10010325529
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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Bun, Maurice J.G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10010325667
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Bayesian Analysis of Instrumental Variable Models : Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012
We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...
Persistent link: https://www.econbiz.de/10014165267
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Detecting Serial Dependence in Tail Events
Diks, Cees - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10010324850
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Correcting for Primary Study Misspecifications in Meta-Analysis
Koetse, Mark J.; Florax, Raymond J.G.M.; de Groot, … - 2005
In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...
Persistent link: https://www.econbiz.de/10010325362
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Some Exact Tests for Manifest Properties of Latent Trait Models
de Gooijer, Jan G.; Yuan, Ao - 2010
Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...
Persistent link: https://www.econbiz.de/10010325932
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Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10010326338
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Fractional Cointegration Rank Estimation
Lasak, Katarzyna; Velasco, Carlos - 2014
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...
Persistent link: https://www.econbiz.de/10010377205