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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...

Persistent link: https://www.econbiz.de/10002734112

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808264

Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808714

Mean group instrumental variable estimation of time-varying large heterogenous panels with endogenous regressors

Bai, Yu; Marcellino, Massimiliano; Kapetanios, George - 2023

Persistent link: https://www.econbiz.de/10014452530

Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence

Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023

Persistent link: https://www.econbiz.de/10014383853

Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence

Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023

the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we …In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to …, Blundell and Bonhomme (2017). Our focus is on the estimation of consumption responses to persistent nonlinear income shocks in …

Persistent link: https://www.econbiz.de/10014248416

Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence

Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023

Persistent link: https://www.econbiz.de/10014283731

Cross-sectional averaging and instrumental variable estimation with many weak instruments

Kapetanios, George (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003671718

Testing for strict stationarity

Kapetanios, George (contributor) - 2007

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

Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator

Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - 2000

autoregressive panel series. It considers the use of the system GMM estimator that relies on relatively mild restrictions on the … sample bias. An application to panel production function data for the US is provided and confirms these theoretical and …

Persistent link: https://www.econbiz.de/10011537713