Similar Search Results

Autoregressive models with sample selectivity for panel data

Arellano, Manuel; Bover, Olympia; Labeaga, José M. - 1997

Persistent link: https://www.econbiz.de/10000969373

The time series and cross-section asymptotics of dynamic panel data estimators

Alvarez, Javier; Arellano, Manuel - 1998

Persistent link: https://www.econbiz.de/10001361941

A likelihood-based approximate solution to the incidental parameter problem in dynamic nonlinear models with multiple effects

Arellano, Manuel; Hahn, Jinyong - In: Global economic review 45 (2016) 3, pp. 251-274

Persistent link: https://www.econbiz.de/10011565997

Uncertainty, persistence, and heterogeneity : a panel data perspective

Arellano, Manuel - In: Journal of the European Economic Association 12 (2014) 5, pp. 1127-1153

Persistent link: https://www.econbiz.de/10010499721

Earnings and consumption dynamics : a nonlinear panel data framework

Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2015

We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...

Persistent link: https://www.econbiz.de/10011336956

Nonlinear panel data estimation via quantile regressions

Arellano, Manuel; Bonhomme, Stéphane - 2015 - First draft: February 2013, This draft: July 2015

We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic autoregressive models, models with general predetermined regressors, and models with multiple individual effects. We use quantile regression as a flexible tool to model the...

Persistent link: https://www.econbiz.de/10011295600