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First difference estimation of spatial dynamic panel data models with fixed effects
Jin, Fei; Lee, Lung-fei; Yu, Jihai - In: Economics letters 189 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012228071
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Panel data models with nonadditive unobserved heterogeneity : estimation and inference
Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481
Persistent link: https://www.econbiz.de/10010252381
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Panel data models with nonadditive unobserved heterogeneity : estimation and inference
Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481
-individual estimators in short panels, we develop bias corrections. These corrections are based on higher-order asymptotic expansions of the … estimators have asymptotic biases of the same order as their asymptotic standard deviations. The bias corrections remove the bias …
Persistent link: https://www.econbiz.de/10011757086
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Nonlinear factor models for network and panel data
Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - In: Journal of econometrics 220 (2021) 2, pp. 296-324
Persistent link: https://www.econbiz.de/10012618515
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Nonlinear factor models for network and panel data
Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - 2019
suffer from incidental parameter bias. We show how models with factor structures can also be applied to capture important …
Persistent link: https://www.econbiz.de/10011997314
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Nonlinear factor models for network and panel data
Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - 2018
suffer of incidental parameter bias. We show how models with factor structures can also be applied to capture important …
Persistent link: https://www.econbiz.de/10011871311
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Dynamic factor models with smooth loadings for analyzing the term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2010
We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a...
Persistent link: https://www.econbiz.de/10011378359
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Computational issues in the estimation of the spatial probit model : a comparison of various estimators
Billé, Anna Gloria - In: The review of regional studies : a joint publ. of the … 43 (2013) 2/3, pp. 131-154
Persistent link: https://www.econbiz.de/10010382825
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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Estimation of DSGE models : maximum likelihood vs. Bayesian methods
Mickelsson, Glenn - 2015
DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter...
Persistent link: https://www.econbiz.de/10011407664