). Maximum Likelihood estimation requires high-dimensional numerical integration in order to marginalize the joint distribution …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel. …

when estimation of productivity is the task. To multiply impute the missing data a data augmentation algorithm based on a … normal/Wishart model is applied. Data of the German IAB Establishment Panel from waves 2000 and 2001 are used to estimate the … estimate sophisticated econometric models from large-scale panel data exposed to item-nonresponse. Basis of the empirical …

We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time … & Hautsch (2006) to panel duration data. We show how to estimate the model parameters by a simulated maximum likelihood … behavioral biases and discuss implications for portfolio theory. …

aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated …

out ML-estimation of SV models as well as simulation smoothing where the latent volatilities are sampled at once. Based on …