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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …
Persistent link: https://www.econbiz.de/10003824296
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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2012
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discretechoice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...
Persistent link: https://www.econbiz.de/10009521645
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A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function
Behr, Andreas - 2003
In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their …
Persistent link: https://www.econbiz.de/10011431996
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To pool or not to pool : revisited
Pesaran, M. Hashem; Zhou, Qiankun - 2015
coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed … effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically …
Persistent link: https://www.econbiz.de/10011283819
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A new view on panel econometrics : is probit feasible after all?
Praag, Bernard M. S. van - 2015
Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects … we demonstrate that in this extended setup Probit estimation on panel data sets does not pose a specific problem. The …
Persistent link: https://www.econbiz.de/10011336953
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A new view on panel econometrics : is probit feasible after all?
Praag, Bernard M. S. van - 2015
Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects … Section 4 we demonstrate that in this extended setup Probit - estimation on panel data sets does not pose a specific problem …
Persistent link: https://www.econbiz.de/10011337153
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Using lasso-type penalties to model time-varying covariate effects in panel data regressions : a novel approach illustrated by the 'death of distance' in international trade
Hess, Wolfgang; Persson, Maria; Rubenbauer, Stephanie; … - 2013
When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects …. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized …
Persistent link: https://www.econbiz.de/10009722024
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Age-cohort-time effects in sickness absence : exploring a large data set by polynomial regression
Biørn, Erik - 2013
Identification of equations explaining a continuous variable, e.g., the length of sickness absence spells, by age, cohort and time (ACT), subject to their definitional identity is reconsidered. Various extensions of a linear equation to polynomials are explored. If no interactions between the...
Persistent link: https://www.econbiz.de/10009757087
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Penalized quantile regression with semiparametric correlated effects : applications with heterogeneous preferences
Harding, Matthew C.; Lamarche, Carlos - 2013
This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for …
Persistent link: https://www.econbiz.de/10010238040
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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2014 - This draft: April 22, 2014
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...
Persistent link: https://www.econbiz.de/10010345243