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Stein-like common correlated effects estimation under structural breaks

Parsaeian, Shahnaz - In: Econometrics : open access journal 12 (2024) 2, pp. 1-23

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common correlated effects (CCE) estimation technique, we...

Persistent link: https://www.econbiz.de/10014636414

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013176894

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...

Persistent link: https://www.econbiz.de/10011650378

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence

Phillips, Peter C. B.; Sul, Donggyu - 2003

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N\rightarrow\infty. The results extend earlier work by Nickell (1981) in several directions that are relevant for practical work, including models with unit roots, deterministic...

Persistent link: https://www.econbiz.de/10014075349

Matrix Autoregressive Models : Generalization and Bayesian Estimation

Celani, Alessandro; Pagnottoni, Paolo - 2022

The issue of modelling observations generated in matrix form over time is key in economics, finance and many domains of application. While it is common to model vectors of observations through standard vector time series analysis, original matrix-valued data often reflect different types of...

Persistent link: https://www.econbiz.de/10014237100

Estimating Financial Networks by Realized Interdependencies : A Restricted Autoregressive Approach

Caporin, Massimiliano; Erdemlioglu, Deniz; Nasini, Stefano - 2021

We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...

Persistent link: https://www.econbiz.de/10013233982

Simultaneous Equation Models with Spatially Autocorrelated Error Components

Amba, Marius - 2017

This paper develops estimators for simultaneous equations with spatial autoregressive or spatial moving average error components. We derive a limited information estimator and a full information estimator. We give the generalized method of moments to get each coefficient of the spatial...

Persistent link: https://www.econbiz.de/10012944302

Identification in a binary choice panel data model with a predetermined covariate

Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2023

We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter θ, whereas the distribution of unit-specific...

Persistent link: https://www.econbiz.de/10013489540

Micro responses to macro shocks

Almuzara, Martín; Sancibrián, Victor - 2024

We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree...

Persistent link: https://www.econbiz.de/10014501208

Assessing and relaxing assumptions in quasi-simplex models

Cernat, Alexandru; Lugtig, Peter; Uhrig, S.C. Noah; … - 2014

The quasi-simplex model makes use of at least three repeated measures of the same variable to estimate its reliability. The model has rather strict assumptions about how various parameters in the model are related to each other. Previous studies have outlined how several of the assumptions of...

Persistent link: https://www.econbiz.de/10010251137