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Common Correlated Effects Estimation of Heterogeneous : Dynamic Panel Quantile Regression Models
Harding, Matthew C. - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …
Persistent link: https://www.econbiz.de/10012911881
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew C. - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …
Persistent link: https://www.econbiz.de/10012908711
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Variable selection in high dimensional linear regressions with parameter instability
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023
variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to …
Persistent link: https://www.econbiz.de/10013494088
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Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …
Persistent link: https://www.econbiz.de/10011898624
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Exponent of Cross-Sectional Dependence for Residuals
Bailey, Natalia - 2018
data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α …
Persistent link: https://www.econbiz.de/10012908680
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Weak and Strong Cross Section Dependence and Estimation of Large Panels
Chudik, Alexander - 2009
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...
Persistent link: https://www.econbiz.de/10013155822
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10013051612
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10013053343
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Exponent of Cross-Sectional Dependence for Residuals
Bailey, Natalia - 2019
data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α …
Persistent link: https://www.econbiz.de/10012897997
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Trimmed mean group estimation of average treatment effects in ultra short T panels under correlated heterogeneity
Pesaran, M. Hashem; Yang, Liying - 2023
Under correlated heterogeneity, the commonly used two-way fixed effects estimator is biased and can lead to misleading inference. This paper proposes a new trimmed mean group (TMG) estimator which is consistent at the irregular rate of n 1/3 even if the time dimension of the panel is as small as...
Persistent link: https://www.econbiz.de/10014393231