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We assess the bias and the efficiency of state-of-the-art dynamic panel data estimators by means of model-based Monte …
Persistent link: https://www.econbiz.de/10011761250
nonlinearity of the problem. We present a penalty for the objective function that reduces the bias in the resulting point estimates … practice. The form of the penalty also provides interesting intuition into how the bias reduction is working. We present … simulation results that suggest that the penalized optimization approach may substantially reduce the bias in nonlinear fixed …
Persistent link: https://www.econbiz.de/10014027743
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This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...
Persistent link: https://www.econbiz.de/10003948200
This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...
Persistent link: https://www.econbiz.de/10014199839
The identification of information problems in different markets is challenging issue in the economic literature. In this paper, we study the identification of moral hazard from adverse selection and learning within the context of a multi-period dynamic model. We extend the model of Abbring et...
Persistent link: https://www.econbiz.de/10013115720
Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...
Persistent link: https://www.econbiz.de/10011586178