Similar Search Results

Public-private investment and macroeconomic determinants : evidence from MENA countries

Alber, Nader; Kheir, Vivian Bushra - In: International journal of economics and finance 11 (2019) 1, pp. 15-27

Persistent link: https://www.econbiz.de/10011962235

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10011332818

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28

standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

Persistent link: https://www.econbiz.de/10012265695

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10003796125

Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...

Persistent link: https://www.econbiz.de/10003808637

Testing for codependence of cointegrated variables

Trenkler, Carsten; Weber, Enzo - In: Applied economics 45 (2013) 13/15, pp. 1953-1964

Persistent link: https://www.econbiz.de/10009758484

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...

Persistent link: https://www.econbiz.de/10011537937

A finite sample correction for the variance of linear efficient two-step GMM estimators

Windmeijer, Frank - In: Journal of econometrics 126 (2005) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10002538627

A finite sample correction for the variance of linear two-step GMM estimators

Windmeijer, Frank - 2000

Persistent link: https://www.econbiz.de/10001537510

1
2
3
4
5
6
7
8
9
10
Next
Last