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Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10011604896

Tests of Independence in Separable Econometric Models : Theory and Application

Brown, Donald - 2006

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...

Persistent link: https://www.econbiz.de/10012779283

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Mendez, Gonzalo; Kapetanios, George - 2021

Persistent link: https://www.econbiz.de/10013316643

Tests of Independence in Separable Econometric Models

Brown, Donald; Wegkamp, Marten - 2003

Persistent link: https://www.econbiz.de/10014090119

The Carbon Kuznets Curve : a cloudy picture emitted by bad econometrics?

Wagner, Martin - 2006

have been conducted for both time series and panel data. When using such methods several issues arise: the effects of a … short time dimension, in a panel context the effects of cross-sectional dependence, and the presence of nonlinear … Ushaped relationship between GDP and CO2 emissions. -- Carbon Kuznets Curve ; panel data ; unit roots ; cointegration …

Persistent link: https://www.econbiz.de/10009736660

Panel data model comparison for empirical saving-investment relations

Herwartz, Helmut; Xu, Fang - 2006

static panel models. Thirdly, via scatter diagrams of cross section specific estimates we observe a different time evolution …

Persistent link: https://www.econbiz.de/10010296259

SUR estimation of error components models with AR(1) disturbances and unobserbed endogenous effects

Egger, Peter - 2001

across equations and AR(1) of the remainder disturbances for panel data with endogenous unobserved effects. Additionally, the … set-up allows for unequally spaced panel data and differences in the autocorrelation parameters across equations. The …

Persistent link: https://www.econbiz.de/10011492665

Sparse network asymptotics for logistic regression

Graham, Bryan S. - 2020

Consider a bipartite network where N consumers choose to buy or not to buy M different products. This paper considers the properties of the logistic regression of the N ×M array of "i-buys-j" purchase decisions, [Yij ] 1≤i≤N,1≤j≤M, onto known functions of consumer and product attributes...

Persistent link: https://www.econbiz.de/10012295282

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

This paper proposes a new paradigm for the analysis of monetary policy. From an econometric point of view this new approach is just as easy to implement as reduced form analysis, but is robust to the Lucas critique. It requires no explicit prior theory and yet it encompasses all standard DSGE...

Persistent link: https://www.econbiz.de/10009635920

Some problems in the testing of DSGE models

Minford, Patrick; Wickens, Michael - 2009

We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other features with data equivalents. We note that they select, scale and characterise the shocks without reference to the data; crucially they fail to use the joint distribution of the...

Persistent link: https://www.econbiz.de/10010288773

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