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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 …

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

Jackknife Estimation of a Cluster-Sample IV Regression Model with Many Weak Instruments

Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen - 2021

This paper proposes new jackknife IV estimators that are robust to the effectsof many weak instruments and error heteroskedasticity in a cluster sample settingwith cluster-specific effects and possibly many included exogenous regressors. Theestimators that we propose are designed to properly...

Persistent link: https://www.econbiz.de/10013233800

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Su, Liangjun - 2015

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...

Persistent link: https://www.econbiz.de/10013028566

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 based on detecting CSD. The test possesses a standard normal limiting …

Persistent link: https://www.econbiz.de/10014366629

Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects

Sun, Yiguo; Malikov, Emir - In: Journal of econometrics 203 (2018) 2, pp. 359-378

Persistent link: https://www.econbiz.de/10011974689

Assessing the consistency of the fixed-effects estimator : a regression-based Wald test

Spierdijk, Laura - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1599-1630

Persistent link: https://www.econbiz.de/10014253710

A more powerful subvector Anderson Rubin test in linear instrumental variables regression

Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 487-526

We study subvector inference in the linear instrumental variables model assuming homoskedasticity but allowing for weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test,...

Persistent link: https://www.econbiz.de/10012042429

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

Robust Estimation and Inference for Threshold Models with Integrated Regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10013079709

Cross-Section Regression with Common Shocks

Andrews, Donald W. K. - 2003

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...

Persistent link: https://www.econbiz.de/10014077624

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