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The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are...
Persistent link: https://www.econbiz.de/10010785528
provided ways to achieve identification of these primitive functions and distributions without imposing parametric restrictions … taken to develop nonparametric identification results in those models. …
Persistent link: https://www.econbiz.de/10010822971
which conditions on fixed effects for identification but allows the parameters of interest to be interpreted in the same … identification originates from differences in the covariates or instruments. The fixed effects are never estimated and the estimator …
Persistent link: https://www.econbiz.de/10008828515
This paper provides a systematic analysis of identification in linear social interactions models. This is both a … of those models. We consider identification of both endogenous (peer) and contextual social effects under alternative … individual-level and aggregated data. Finally, we discuss potential ramifications for identification of endogenous group …
Persistent link: https://www.econbiz.de/10010860380
of the identification of social interactions. We consider linear and discrete choice models as well as social network … identification literature, we indicate areas where additional research is especially needed and suggest some directions that appear …
Persistent link: https://www.econbiz.de/10008676594
. Conditioning on additional covariates, however, may be necessary for identification of these treatment effects. With conditional …
Persistent link: https://www.econbiz.de/10008828516
This study examines the performance of acquisitions in the Real Estate Investment Trust (REIT) industry around the acquisition announcement and in the long-run. The results suggest that the acquiring REITs experience statistically significant negative abnormal returns while the target REITs earn...
Persistent link: https://www.econbiz.de/10012778901
Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...
Persistent link: https://www.econbiz.de/10009654216
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...
Persistent link: https://www.econbiz.de/10010819019
In the paper is considered identification of coefficients in equations explaining a continuous variable, say the number …
Persistent link: https://www.econbiz.de/10010785532