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Exploiting information from singletons in panel data analysis : a GMM approach

Bruno, Randolph; Magazzini, Laura; Stampini, Marco - 2019

We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...

Persistent link: https://www.econbiz.de/10012034327

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Finance, uncertainty and investment : assessing the gains and losses of a generalized non linear structural approach using Belgian panel data

Gérard, Marcel; Verschueren, Frédéric - 2002

Using panel data for 2,329 Belgian firms observed between 1985 and 1999, this paper aims at getting a better understanding of Belgian firms' investment behavior. Two main and interrelated topics are investigated: the link between financial structure and investment decision, on the one hand, the...

Persistent link: https://www.econbiz.de/10011623460

A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

sample properties of the GMM-methods. In the case of endogenous predetermined regressors, the system-estimator proposed by … Blundell and Bond is unbiased and most efficient, while direct bias corrected estimators perform similar to the GMM … die bekannt günstigen Eigenschaften von GMM-Schätzern bei großer Beobachtungszahl wider. Im Falle endogener …

Persistent link: https://www.econbiz.de/10011431996

Market power, scale economies and productivity : estimates from a panel of establishment data

Klette, Tor Jakob - 1998

This paper presents a somewhat new econometric framework that permits simultaneous estimation of price-cost margins, scale economies and productivity from a panel of establishment data. The econometric model contains only a few, economically interesting parameters to be estimated, but it is...

Persistent link: https://www.econbiz.de/10011518864

What is the investment loss due to uncertainty?

Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019

uncertainty. The investment performance of 14 sectors is examined within a dynamic investment model. Robust GMM estimates of the …

Persistent link: https://www.econbiz.de/10012060122

On GMM estimation of linear dynamic panel data models

Fritsch, Markus - 2019

. Estimation and inference can, however, be carried out with the generalized method of moments (GMM) by suitably aggregating … the GMM estimator. …

Persistent link: https://www.econbiz.de/10012104777

Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...

Persistent link: https://www.econbiz.de/10010469057

Dynamic Spatial Panel Models : Networks, Common Shocks, and Sequential Exogeneity

Kuersteiner, Guido M. - 2015

This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional …

Persistent link: https://www.econbiz.de/10013018457

To Pool or Not to Pool : Revisited

Pesaran, M. Hashem - 2015

This paper provides a new comparative analysis of pooled least squares and fixed effects estimators of the slope coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed to increase without bounds. The individual effects...

Persistent link: https://www.econbiz.de/10013019853

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