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Bootstrap improved inference for factor-augmented regressions with CCE

Vos, Ignace de; Stauskas, Ovidijus - 2021

Persistent link: https://www.econbiz.de/10012698559

Threshold regression with endogeneity for short panels

Gørgens, Tue; Würtz, Allan H. - In: Econometrics : open access journal 7 (2019) 2/23, pp. 1-8

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the √N-rate. We...

Persistent link: https://www.econbiz.de/10012025781

Threshold regression with endogeneity for short panels

Gorgens, Tue; Würtz, Allan H. - 2018

Persistent link: https://www.econbiz.de/10012319729

The moving blocks bootstrap for panel linear regression models with individual fixed effects

Gonçalves, Sílvia - In: Econometric theory 27 (2011) 5, pp. 1048-1082

Persistent link: https://www.econbiz.de/10009379757

Testing for trend specifications in panel data models

Wu, Jilin; Song, Xiaojun; Xiao, Zhijie - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 453-466

Persistent link: https://www.econbiz.de/10014448241

On bootstrap inference for quantile regression panel data : a Monte Carlo study

Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics : open access journal 3 (2015) 3, pp. 654-666

This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct … confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different … bootstrapping procedures. First, the bootstrap samples are constructed by resampling only from cross-sectional units with …

Persistent link: https://www.econbiz.de/10011410652