The paper compares two approaches to the estimation of panel probit models: the Generalized Method of Moments (GMM) and …. Particular attention is paid to a three-stage GMM estimator based on nonparametric estimation of optimal instruments. A Monte …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic …

models in a panel data context with partially unobserved targets and endogenous, time-varying persistence. In this setup, the … standard first difference GMM procedure fails. I propose three estimation strategies. One is based on quasi-differencing, and …

specific heterogeneity via random coe?cients. For accurate estimation of the treatment type model a simulated maximum …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results …

) are considered. The simulation results indicate that the panel-t and standardized LR-bar statistic have the best size and … maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the … group-p, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-bar statistic of Larsson er al. (2001 …

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and …