Showing 1 - 10 of 17,807
in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental …
Persistent link: https://www.econbiz.de/10003817215
heterogeneity and spatial correlation across units. We discuss instrumental variable estimation under both the fixed and the random … autocorrelation in the disturbances. We derive the large sample properties of our estimation procedures and show that the test … small panels. -- spatial econometrics ; panel data ; random effects estimator ; within estimator ; Hausman test …
Persistent link: https://www.econbiz.de/10009735353
In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …
Persistent link: https://www.econbiz.de/10013127390
Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …
Persistent link: https://www.econbiz.de/10014076077
An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null …, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the …
Persistent link: https://www.econbiz.de/10014076261
In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped …
Persistent link: https://www.econbiz.de/10011431996
We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to … likelihood estimation method set forth by Aquaro, Bailey and Pesaran (2015), we rely on a Markov Chain Monte Carlo (MCMC …) estimation methodology. MCMC estimates as applied here with non-informative priors will produce estimates equal to those from …
Persistent link: https://www.econbiz.de/10011460317
Focus is on efficient estimation of a dynamic space-time panel data model that incorporates spatial dependence … of spatial units and T the number of time periods. Quasi-maximum likelihood (QML) estimation in cases involving large N … estimates that require numerous inversions of large matrices. We set forth a Markov Chain Monte Carlo (MCMC) estimation …
Persistent link: https://www.econbiz.de/10011954962
attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross …
Persistent link: https://www.econbiz.de/10009672473
We analyse the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous … variables with the error term. A common solution in this setting is to use Instrumental-Variable (IV) estimation in the spirit …
Persistent link: https://www.econbiz.de/10003811776