Narrow search
Showing 1 - 10 of 1,370
Cover Image
On the Estimation and Inference of a Cointegrated Regression in Panel Data
Kao, Chihwa; Chiang, Min-Hsien - 1997
In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...
Persistent link: https://www.econbiz.de/10014149909
Cover Image
Efficient Tests for Autoregressive Unit Roots in Panel Data
Bowman, David - 2003
In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series will be partially characterized. Using this characterization, several recently suggested tests are shown to be inadmissable. Since the sufficient statistic for this testing...
Persistent link: https://www.econbiz.de/10014154171
Cover Image
Panel smooth transition regression models
González, Andrés (contributor);  … - 2005
We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...
Persistent link: https://www.econbiz.de/10003073836
Cover Image
Phantom Results from Panel Regressions
Wolfson, Paul J. - 2012
This paper examines current practice with respect to serial correlation in studies that rely on regression analysis of panel datasets. It first examines how frequently various techniques for dealing with serial correlation are used. Next, it runs a horse race using Monte Carlo simulation to...
Persistent link: https://www.econbiz.de/10013114752
Cover Image
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
Cover Image
Estimating and testing a quantile regression model with interactive effects
Harding, Matthew; Lamarche, Carlos - 2012
This paper proposes a quantile regression estimator for a panel data model with interactive effects potentially correlated with the independent variables. We provide conditions under which the slope parameter estimator is asymptotically Gaussian. Monte Carlo studies are carried out to...
Persistent link: https://www.econbiz.de/10009581319
Cover Image
Linear regression for panel with unknown number of factors as interactive fixed effects
Moon, Hyungsik Roger; Weidner, Martin - 2014
factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true … number of factors in the data we establish the limiting distribution of the LS estimator for the regression coefficients, as … that under certain assumptions the limiting distribution of the LS estimator is independent of the number of factors used …
Persistent link: https://www.econbiz.de/10010392909
Cover Image
Linear regression for panel with unknown number of factors as interactive fixed effects
Moon, Hyungsik Roger; Weidner, Martin - 2013
In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed effects for asymptotics where both the number of time periods and the number of cross-sectional units go to infinity. Under appropriate assumptions we show that the limiting...
Persistent link: https://www.econbiz.de/10010188247
Cover Image
Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
Gao, Jiti; Chen, Jia; Li, Degui - 2010
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A semiparametric profile likelihood approach based on the first-stage local linear...
Persistent link: https://www.econbiz.de/10014191157
Cover Image
Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects
Moon, Hyungsik Roger - 2015
factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true … number of factors in the data we establish the limiting distribution of the LS estimator for the regression coefficients, as … that under certain assumptions the limiting distribution of the LS estimator is independent of the number of factors used …
Persistent link: https://www.econbiz.de/10013030887