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Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators
Anderson, Richard G. - 2006
In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...
Persistent link: https://www.econbiz.de/10012732978
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Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
Kristensen, Dennis - 2008
We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...
Persistent link: https://www.econbiz.de/10012722610
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Unconditional transformed likelihood estimation of time-space dynamic panel data models : conference paper
Kripfganz, Sebastian - 2014
polynomial of the spatial weights matrix and, in general, tends to infinity with increasing sample size. Consistent estimation …
Persistent link: https://www.econbiz.de/10010490568
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Nested pseudo-likelihood estimation and bootstrap-based inference for structural discrete Markov decision models
Kasahara, Hiroyuki (contributor);  … - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10003274966
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Estimation of linear dynamic panel data models with time-invariant regressors : conference paper
Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013
This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …
Persistent link: https://www.econbiz.de/10010342822
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On the iterated estimation of dynamic discrete choice games
Bugni, Federico A.; Bunting, Jackson - 2018
estimation. This class nests several estimators proposed in the literature. By considering a "maximum likelihood" criterion …
Persistent link: https://www.econbiz.de/10011797607
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Sensitivity of estimation precision to moments with an application to a model of joint retirement planning of couples
Honoré, Bo E.; Jørgensen, Thomas H.; Paula, Áureo de - 2019
moment was dropped from the estimation. The measures are all easy to compute. We illustrate the usefulness of the measures …
Persistent link: https://www.econbiz.de/10012025702
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The informativeness of estimation moments
Honoré, Bo E.; Jørgensen, Thomas H.; Paula, Áureo de - 2020
was dropped from the estimation. The measures are all easy to compute. We illustrate the usefulness of the measures …
Persistent link: https://www.econbiz.de/10012152501
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Identifying the elasticity of substitution between capital and labour : a pooled GMM panel estimator
Brasch, Thomas von; Raknerud, Arvid; Vigtel, Trond C. - 2022
Simultaneity represents a fundamental problem when estimating the elasticity of substitution between capital and labour. To overcome this problem, a wide variety of external instruments has been applied in the literature. However, the use of instruments may lead to wrong inference if they are...
Persistent link: https://www.econbiz.de/10013162412
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Judging Contending Estimators by Simulation : Tournaments in Dynamic Panel Data Models
Kiviet, Jan F. - 2006
An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...
Persistent link: https://www.econbiz.de/10014060519