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The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models
Bun, Maurice J.G.; Kiviet, Jan F. - 2002
The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe regressor and another explanatory variabIewhich may be affected by lagged feedbacks from the dependent...
Persistent link: https://www.econbiz.de/10010325057
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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...
Persistent link: https://www.econbiz.de/10011313930
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The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Bun, Maurice J. G.; Kiviet, J. F. - 2002
The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe regressor and another explanatory variabIewhich may be affected by lagged feedbacks from the dependent...
Persistent link: https://www.econbiz.de/10011327521
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Optimization of inventory management logistic model of the machine-building enterprises
Holovan, Olha; Oliynyk, Oleksandr; Makazan, Yevheniia - In: EconWorld working paper series 1 (2017) 10, pp. 82-96
Persistent link: https://www.econbiz.de/10011797630
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When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
Kiviet, J. F. - In: Economics letters 145 (2016), pp. 192-195
Persistent link: https://www.econbiz.de/10011618403
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Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.; Pirjol, Dan - In: Quantitative finance 22 (2022) 9, pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
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A simulation-based method for estimating systemic risk measures
Ye, Wuyi; Zhou, Yi; Chen, Pengzhan; Wu, Bin - In: European journal of operational research : EJOR 313 (2024) 1, pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
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An econometrician amongst statisticians: T.W. Anderson
Phillips, Peter C. B. - 2022
Persistent link: https://www.econbiz.de/10013326601