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Dynamic Panels, Cross Sectional Correlation, and Arbitrage in Equities Market
Huang, Xiao - 2018
This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T …
Persistent link: https://www.econbiz.de/10012938610
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Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency
Belotti, Federico - 2019
that the estimation approach is consistent, showing good finite sample properties especially in small samples …
Persistent link: https://www.econbiz.de/10012869435
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Estimation of dynamic panel data models with stochastic volatility using particle filters
Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...
Persistent link: https://www.econbiz.de/10011650493
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On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence
Bai, Jushan - 2011
Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a factor structure. We derive the limiting distribution...
Persistent link: https://www.econbiz.de/10013126684
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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
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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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Change point estimation in panel data without boundary issue
Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22
estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …
Persistent link: https://www.econbiz.de/10011636497
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Spread determinants and the day-of-the-week effect
Narayan, Paresh Kumar; Mishra, Sagarika; Narayan, Seema - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 51-60
Persistent link: https://www.econbiz.de/10010468792
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Implementing the panel event study
Clarke, Damian; Tapia Schythe, Kathya - 2020
practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …
Persistent link: https://www.econbiz.de/10012256137
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Revisiting the long-run dynamic linkage between dividends and share price with advanced panel econometrics techniques
Mohapatra, Sudatta Bharati; Kar, Nirmal Chandra - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-19
setting using newly developed panel unit root, cointegration, and long-run dynamic estimation approaches. This study employed …
Persistent link: https://www.econbiz.de/10013470997