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Identification using stability restrictions
Magnusson, Leandro M.; Mavroeidis, Sophocles - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 5, pp. 1799-1851
Persistent link: https://www.econbiz.de/10011556917
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Qualitative versus quantitative external information for proxy vector autoregressive analysis
Boer, Lukas; Lütkepohl, Helmut - In: Journal of economic dynamics & control 127 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012668854
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A bias-corrected method of moments approach to estimation of dynamic Short-T panels
Chudik, Alexander; Pesaran, M. Hashem - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of …¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We …
Persistent link: https://www.econbiz.de/10011735967
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A simple instrument for proxy vector autoregressive analysis
Boer, Lukas; Lütkepohl, Helmut - 2020
A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead...
Persistent link: https://www.econbiz.de/10012301348
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Qualitative versus quantitative external information for proxy vector autoregressive analysis
Boer, Lukas; Lütkepohl, Helmut - 2021
A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider...
Persistent link: https://www.econbiz.de/10012498418
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A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function
Behr, Andreas - 2003
sample properties of the GMM-methods. In the case of endogenous predetermined regressors, the system-estimator proposed by … Blundell and Bond is unbiased and most efficient, while direct bias corrected estimators perform similar to the GMM … die bekannt günstigen Eigenschaften von GMM-Schätzern bei großer Beobachtungszahl wider. Im Falle endogener …
Persistent link: https://www.econbiz.de/10010295751
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Panel data dynamics and measurement errors: GMM bias, IV validity and model fit - a Monte Carlo study
Biørn, Erik; Han, Xuehui - 2012
memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators …
Persistent link: https://www.econbiz.de/10010330209
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Consumption based capital asset pricing and the Austrian Stock Exchange
Böheim, René; Boss, Michael - 1996
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...
Persistent link: https://www.econbiz.de/10010291074
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An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
Engsted, Tom; Møller, Stig Vinther - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 213-227
Persistent link: https://www.econbiz.de/10008702348
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Estimating and forecasting with a dynamic spatial panel data model
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2011
Persistent link: https://www.econbiz.de/10009546961