Showing 1 - 10 of 4,112
Persistent link: https://www.econbiz.de/10014305520
This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for p that are asymptotically valid, having...
Persistent link: https://www.econbiz.de/10012160749
This research aims to show the direct and indirect effects of size on the performance of the municipalities of Santa Catarina, due to the academic discussion about the size of the municipality affecting its performance. All municipalities in the state of Santa Catarina, from 2005 to 2016, were...
Persistent link: https://www.econbiz.de/10013242314
The main contribution of this paper is to add to the literature by suggesting a dynamic OLS (DOLS) estimator and providing a serious comparison of the finite sample properties of the OLS, fully modified OLS (FMOLS), and DOLS estimators in panel cointegrated regression models. Monte Carlo results...
Persistent link: https://www.econbiz.de/10013127238
Persistent link: https://www.econbiz.de/10009011869
Persistent link: https://www.econbiz.de/10011503072
In this chapter, we study the asymptotic distributions for ordinary least squares (OLS), fully modified OLS (FMOLS), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FMOLS, and DOLS estimators are all asymptotically normally distributed....
Persistent link: https://www.econbiz.de/10015390074
Persistent link: https://www.econbiz.de/10013453781
The paper introduces two estimators for the linear random effects panel data model with known heteroskedasticity. Examples where heteroskedasticity can be treated as given include panel regressions with averaged data, meta regressions and the linear probability model. While one estimator builds...
Persistent link: https://www.econbiz.de/10014551389
Persistent link: https://www.econbiz.de/10015072069