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Panel data estimators and aggregation
Biørn, Erik - 2016
For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period-specific, ‘within-individual’ and ‘within-period’ estimators, which can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations, are considered. A class...
Persistent link: https://www.econbiz.de/10011585187
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Aggregation Bias, Local Estimates and the Devil
Cardiff, Pat - 2020
When faced with a big problem, it is natural to summarize the data en route to a solution. But accepting summary as fact gives up evidence for convenience. Statistical measures from aggregate data may only be capable of indication or trends over time. Only consistency provides a mathematical...
Persistent link: https://www.econbiz.de/10014090422
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A Number of Concerns Arising from a Closer Look at the Estimation of the Consumer Price Index
Guerrero-de-Lizardi, Carlos - 2014
positively sure that the routinely compilation of the consumer price index (CPI) done by any statistical agency constitutes “a … tour the force”. In third place, I am convinced it is time that we all realize that the CPI constitutes a scientific object …. My aim is to share with the reader some concerns of a closer look at the estimation of the CPI. I use a four …
Persistent link: https://www.econbiz.de/10013048762
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Measuring CPI’s reliability : the stochastic approach to index numbers revisited
Liang, Kuo-yuan; Yen, Chen-hui - In: Applied economics 45 (2013) 19/21, pp. 2894-2908
Persistent link: https://www.econbiz.de/10010192365
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Does CPI Granger-cause WPI? : new extensions from frequency domain approach in Pakistan
Shahbaz, Muhammad; Tiwari, Aviral Kumar; Tahir, … - In: Economic modelling 29 (2012) 5, pp. 1592-1597
Persistent link: https://www.econbiz.de/10009667193
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Variance estimation for price indexes from a two-stage sample with rotating panels
Valliant, Richard - In: Journal of business & economic statistics : JBES ; a … 9 (1991) 4, pp. 409-422
Persistent link: https://www.econbiz.de/10001113385
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Interpolation and backdating with a large information set
Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003
Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...
Persistent link: https://www.econbiz.de/10009635924
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Interpolation and backdating with a large information set
Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003
Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...
Persistent link: https://www.econbiz.de/10009640916
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Indicators of real convergence and their application
Pecican, Eugen Ştefan - 2010
Measurable aspects of the economic convergence of EU countries form the main topic of this paper. For this purpose, statistical and econometric methods are presented and applied for revealing characteristic elements of such a process. A first group of methods refers mainly to aspects such as:...
Persistent link: https://www.econbiz.de/10010529083
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de/10010357912