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Testing weak cross-sectional dependence in large panels
Pesaran, M. Hashem - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent (CD), using the exponent of cross-sectional dependence introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10009533962
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Testing weak cross-sectional dependence in large panels
Pesaran, M. Hashem - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10009534988
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
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A correction function approach to solve the incidental parameter problem
Li, Guangjie; Leon-Gonzalez, Roberto - 2009
estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … problem ; consistency in estimation ; model selection ; Bayesian model averaging ; Markov chain Monte Carlo (MCMC) …
Persistent link: https://www.econbiz.de/10003817215
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General diagnostic tests for cross section dependence in panels
Pesaran, M. Hashem - 2004
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...
Persistent link: https://www.econbiz.de/10011449852
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Testing Weak Cross-Sectional Dependence in Large Panels
Pesaran, M. Hashem - 2012
This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10013108232
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Testing Weak Cross-Sectional Dependence in Large Panels
Pesaran, M. Hashem - 2021
This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent (CD), using the exponent of cross-sectional dependence introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...
Persistent link: https://www.econbiz.de/10013315920
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General Diagnostic Tests for Cross Section Dependence in Panels
Pesaran, M. Hashem - 2021
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...
Persistent link: https://www.econbiz.de/10013319142
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54
Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic … quality of most asymptotic approximations; therefore, the accurate estimation of this nuisance parameter is investigated. A …
Persistent link: https://www.econbiz.de/10011654182
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …
Persistent link: https://www.econbiz.de/10012943386