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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...
Persistent link: https://www.econbiz.de/10012305035
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Testing of parameter's instability in a balanced panel : an application to real effective exchange rate for SAARC countries
Agiwal, Varun; Kumar, Jitendra; Sharma, Sumit Kumar - 2017
Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and autoregressive coefficient. This model is extension of univariate model proposed by Meligkotsiduo et al. (2004) and review of existing panel data time series model considering break...
Persistent link: https://www.econbiz.de/10011785064
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Tests of no cross-sectional error dependence in panel quantile regressions
Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023
This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...
Persistent link: https://www.econbiz.de/10014366629
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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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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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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...
Persistent link: https://www.econbiz.de/10009736650
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Identification of Non-Additive Fixed Effects Models : Is the Return to Teacher Quality Homogeneous?
Hahn, Jinyong; Singleton, John D.; Yildiz, Neşe - National Bureau of Economic Research - 2023
additively and interacts with treatment variables. We present identification and estimation methods for parameters of interest in …
Persistent link: https://www.econbiz.de/10014322772
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Testing for Granger Causalityin Heterogeneous Mixed Panels
Emirmahmutoglu, Furkan; Kose, Nezir - 2012
This paper proposes a simpleprocedure based on Meta-analysisto test Granger causality relationship betweenvariables in heterogeneous mixed panels.We evaluate the finite sample properties of the causality test based on Meta-analysisthrough Monte Carlo experiments for panels characterized by both...
Persistent link: https://www.econbiz.de/10014198175
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A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects
Ando, Tomohiro - 2014
We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically...
Persistent link: https://www.econbiz.de/10013039865