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Interactions in fixed effects regression models

Giesselmann, Marco; Schmidt, Alexander - 2018

An interaction in a fixed effects (FE) regression is usually specified by demeaning the product term. However, this strategy does not yield a genuine within estimator. Instead, an estimator is produced that reflects unit-level differences of interacted variables whose moderators vary within...

Persistent link: https://www.econbiz.de/10011880691

Bayesian methods for completing data in space-time panel models

Llano, Carlos; Polasek, Wolfgang; Sellner, Richard - 2009

the first to develop a united framework for the three problems (interpolation, extrapolation and distribution) of …-sectional and panel data and compares the classical and Bayesian estimation methods. We outline the error covariance structure in a … spatial context and derive the BLUE for the ML and Bayesian MCMC estimation. Finally, we apply the procedure to Spanish …

Persistent link: https://www.econbiz.de/10010294002

Chow-Lin x N : how adding a panel dimension can improve accuracy

Bettendorf, Timo; Bursian, Dirk - 2017

Single equation models are well established among academics and practitioners to perform temporal disaggregation of low frequency time series using available related series. In this paper, we propose an extension that exploits information from the cross-sectional dimension. More specifically, we...

Persistent link: https://www.econbiz.de/10011649195

Chow-Lin × N : how adding a panel dimension can improve accuracy

Bettendorf, Timo; Bursian, Dirk - In: Economics letters 157 (2017), pp. 5-9

Persistent link: https://www.econbiz.de/10011847277

Interest premium and external position : a time varying approach

Kónya, István; Maduko, Franklin - 2018

The paper reexamines the empirical relationship between external indebtedness and the interest premium on government bonds. We use a broad sample of countries between 1980-2017 that includes advanced, emerging and less-developed economies. We show that the relationship is strongly...

Persistent link: https://www.econbiz.de/10012012505

Panel vector autoregressive models: a survey

Canova, Fabio; Ciccarelli, Matteo - 2013

This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is...

Persistent link: https://www.econbiz.de/10011605552