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Quasi maximum likelihood estimation of spatial models with heterogeneous coefficients

Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2015

This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … sample properties for panels with moderate time dimensions and irrespective of the number of cross section units in the panel …

Persistent link: https://www.econbiz.de/10011283005

Responses to monetary policy shocks in the east and the west of Europe : a comparison

Jarociński, Marek - 2006

Persistent link: https://www.econbiz.de/10003335820

Systemic sovereign risk : macroeconomic implications in the Euro Area

Bahaj, Saleem A. - 2014

Persistent link: https://www.econbiz.de/10010359485

Dating and forecasting turning points by Bayesian clustering with dynamic structure : a suggestion with an application to Austrian data

Kaufmann, Sylvia - 2008

Persistent link: https://www.econbiz.de/10003746954

Responses to monetary policy shocks in the east and the west of Europe : a comparison

Jarociński, Marek - 2006

Persistent link: https://www.econbiz.de/10003367519

Inference on time-invariant variables using panel data : a pretest estimator

Chatelain, Jean-Bernard; Ralf, Kirsten - 2018

Persistent link: https://www.econbiz.de/10011995425

Robust estimation of zero-inflated count models

Staub, Kevin E.; Winkelmann, Rainer - 2009

Applications of zero-inflated count data models have proliferated in empirical economic research. There is a downside to this development, as zero-inflated Poisson or zero-inflated Negative Binomial Maximum Likelihood estimators are not robust to misspecification. In contrast, simple Poisson...

Persistent link: https://www.econbiz.de/10003894176

Robust estimation and forecasting of the capital asset pricing model

Bian, Guorui; McAleer, Michael; Wong, Wing Keung - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008760514

Testing for strict stationarity

Kapetanios, George (contributor) - 2007

Persistent link: https://www.econbiz.de/10003475291

Estimating standard errors for the Parks model : can jackknifing help?

Reed, W. Robert; Webb, Rachel S. - 2009

Persistent link: https://www.econbiz.de/10008669708

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