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Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect

Li, Guangjie (contributor) - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

Persistent link: https://www.econbiz.de/10003817214

A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

Persistent link: https://www.econbiz.de/10003824296

Judging contending estimators by simulation : tournaments in dynamic panel data models

Kiviet, J. F. - 2005

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 have been used in the past to compare competing estimators for … simulation design inspired by an analysis of the (non-)invariance properties of estimators and occasionally by available higher …

Persistent link: https://www.econbiz.de/10011348362