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On Liu Estimators for the Logit Regression Model

Månsson, Kristofer; Kibria, B. M. Golam; Shukur, Ghazi - Centre of Excellence for Science and Innovation … - 2011

In innovation analysis the logit model used to be applied on available data when the dependent variables are dichotomous. Since most of the economic variables are correlated between each other practitioners often meet the problem of multicollinearity. This paper introduces a shrinkage estimator...

Persistent link: https://www.econbiz.de/10009324205

Simultaneity in the Multivariate Count Data Autoregressive Model

Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2014

This short paper proposes a simultaneous equations model formulation for time series of count data. Some of the basic moment properties of the model are obtained. The inclusion of real valued exogenous variables is suggested to be through the parameters of the model. Some remarks on the...

Persistent link: https://www.econbiz.de/10010729200

Modelling International Bond Markets with Affine Term Structure Models

Mosburger, Georg; Schneider, Paul - EconWPA - 2005

This paper investigates the performance of international affine term structure models (ATSMs) that are driven by a mutual set of global state variables. We discuss which mixture of Gaussian and square root processes is best suited for modelling international bond markets. We derive necessary...

Persistent link: https://www.econbiz.de/10005134688

Formes et méthodes d’estimation des systèmes récursifs dynamiques à double indice

Ghassan, Hassan B. - Volkswirtschaftliche Fakultät, … - 2000

The purpose of this paper is to study the model belongs to the family of structural equation models with data varying both across individuals (sectors) and in time. A complete theoretical analysis is developed in this work for the case of a dynamic recursive structure. Maximum likelihood...

Persistent link: https://www.econbiz.de/10011113165

Two-step estimation of simultaneous equation panel data models with censored endogenous variables

Vella, F.; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1994

This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional...

Persistent link: https://www.econbiz.de/10011090331

Distinguishing Transitory and Permanent Price Elasticities of Charitable Giving with Pre-Announced Changes in Tax Law

Bakija, Jon - Economics Department, Williams College - 2000

This paper develops and applies a new estimation technique for distinguishing transitory and permanent price and income elasticities of charitable giving using panel data. Twelve-year individual averages of income and deductions are combined with information on legislated changes in tax...

Persistent link: https://www.econbiz.de/10008520366

The saving-investment relationship in periods of structural change: The case of Greece

Papapetrou, Evangelia - In: Journal of Economic Studies 33 (2006) May, pp. 121-129

methods are used to estimate the time varying savings retention coefficient. A recursive OLS, rolling OLS, Kalman filter …

Persistent link: https://www.econbiz.de/10004990889

Estimating private savings behaviour in Greece

Hondroyiannis, George - In: Journal of Economic Studies 31 (2004) October, pp. 457-476

This paper investigates the long- and short-run determinants of aggregate private savings in Greece employing data over … the period 1961-2000. The long-run savings function is estimated based on an extended life-cycle hypothesis taking into … long-run savings function in Greece both in the long- and short-run periods and the policy implications of such a …

Persistent link: https://www.econbiz.de/10004964077