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endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …
Persistent link: https://www.econbiz.de/10010318531
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 in a Monte Carlo study to extend to the panel data system GMM estimator. …
Persistent link: https://www.econbiz.de/10010318586
This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper …
Persistent link: https://www.econbiz.de/10010318540
Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common …
Persistent link: https://www.econbiz.de/10010288338
choices of a panel of Houston households whose shopping behavior was observed over a 24-month period in years 2004-2005. We …
Persistent link: https://www.econbiz.de/10010288443
The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...
Persistent link: https://www.econbiz.de/10010318448
This paper develops IV estimators for unconditional quantile treatment effects (QTE) when the treatment selection is endogenous. In contrast to conditional QTE, i.e. the effects conditional on a large number of covariates X, the unconditional QTE summarize the effects of a treatment for the...
Persistent link: https://www.econbiz.de/10010318521
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing non stochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series non...
Persistent link: https://www.econbiz.de/10010318525
bounds as a by-product of our inferential procedures. We develop theory for large sample inference based on the strong …
Persistent link: https://www.econbiz.de/10010318689
It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...
Persistent link: https://www.econbiz.de/10010318511