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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010
allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …
Persistent link: https://www.econbiz.de/10010277529
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011
allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …
Persistent link: https://www.econbiz.de/10010282870
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Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors
Stauskas, Ovidijus - 2021
A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...
Persistent link: https://www.econbiz.de/10013208900
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Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
De Vos, Ignace; Stauskas, Ovidijus - 2021
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic...
Persistent link: https://www.econbiz.de/10013208907
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Bootstrap performance with heteroskedasticity
Davidson, Russell; Monticini, Andrea - 2023
The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are...
Persistent link: https://www.econbiz.de/10014550294
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020
tests to accommodate hidden dependence and non-stationarities involving heteroskedasticity, thereby uncoupling these tests … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series …
Persistent link: https://www.econbiz.de/10012670869
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Testing mean stability of heteroskedastic time series
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C.B. - 2015
Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...
Persistent link: https://www.econbiz.de/10011460772
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Power Properties of the Sargan Test in the Presence of Measurement Errors in Dynamic Panels
Dahlberg, Matz; Johansson, Eva; Tovmo, Per - 2002
This paper investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel data models. The general conclusion from the Monte Carlo simulations is that the Sargan test, in many cases, leads the econometrician to accept misspecified models with...
Persistent link: https://www.econbiz.de/10010321705
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Cluster sample inference using sensitivity analysis: The case with few groups
Vikström, Johan - 2009
This paper re-examines inference for cluster samples. Sensitivity analysis is proposed as a new method to perform inference when the number of groups is small. Based on estimations using disaggregated data, the sensitivity of the standard errors with respect to the variance of the cluster...
Persistent link: https://www.econbiz.de/10010273962
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2008
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10010280777