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The Yule-Frisch-Waugh-Lovell theorem for linear instrumental variables estimation
Basu, Deepankar - 2023
linear instrumental variables estimation of a multiple regression model that is either exactly or overidentified. I show that … with linear instrumental variables estimation: (a) coefficients on endogenous variables are identical in full and partial … the covariate matrix other than its dimensions. While estimation of the full model uses the full set of instrumental …
Persistent link: https://www.econbiz.de/10014480707
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A note on joint estimation of common cycles and common trends in nonstationary multivariate systems
Kapetanios, George - 2003
We provide a new method for jointly consistently estimating common trends and cycles in unit root nonstationary multivariate systems. We concentrate on the MA representation of the differenced data and we jointly impose the reduced rank restriction for the common cycles and the common trends on...
Persistent link: https://www.econbiz.de/10010284147
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea; Kapetanios, George - 2004
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard (1994). The method is...
Persistent link: https://www.econbiz.de/10010289033
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Do Depositors Discipline Swiss Banks?
Birchler, Urs; Maechler, Andréa M. - 2001
longer satisfactory. We use a panel of bank-specific data on 250 Swiss banks over the period 1987-1998. We find considerable …
Persistent link: https://www.econbiz.de/10011430028
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Consistent estimation of the fixed effects ordered logit model
Baetschmann, Gregori; Staub, Kevin E.; Winkelmann, Rainer - 2011
The paper re-examines existing estimators for the panel data fixed effects ordered logit model, proposes a new one, and …
Persistent link: https://www.econbiz.de/10010316860
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Reconsidering the analysis of longitudinal happiness data: With an application to the effect of unemployment
Baetschmann, Gregori; Staub, Kevin E.; Winkelmann, Rainer - 2011
The paper reconsiders existing estimators for the panel data fixed effects ordered logit model, including one that has …
Persistent link: https://www.econbiz.de/10010316884
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2008
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …
Persistent link: https://www.econbiz.de/10010280777
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Dynamic factor models with common (drifting) stochastic trends
Kaufmann, Sylvia; Strachan, Rodney W. - 2024
It is common to transform data to stationarity, such as by differencing and demeaning, before estimating factor models in macroeconomics. Imposing these transformations, however, limit opportunities to learn about trending behaviour. Trends and deterministic processes can play a central role in...
Persistent link: https://www.econbiz.de/10014476233
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Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman - 2011
We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index. In...
Persistent link: https://www.econbiz.de/10010282828
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Seeing inside the black box: Using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments
Armah, Nii Ayi; Swanson, Norman R. - 2011
methodology is presented, and via a large set of prediction experiments using the panel dataset of Stock and Watson (2005). One of …
Persistent link: https://www.econbiz.de/10010282831