Showing 91 - 100 of 3,778
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the cross section dimension) is large relative to T (the time series dimension). It allows for fixed and time effects (FE-TE) and...
Persistent link: https://www.econbiz.de/10012934791
Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson...
Persistent link: https://www.econbiz.de/10011871311
This paper puts forward a new instrumental variables (IV) approach for linear panel data-models with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...
Persistent link: https://www.econbiz.de/10012823392
This paper investigates the estimation and inference of spatial panel data models in which the regression coefficient vector is a trending function. We use time differences to eliminate the individual effects and employ GMM estimations for regression coefficients with both linear and quadratic...
Persistent link: https://www.econbiz.de/10013292793
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...
Persistent link: https://www.econbiz.de/10013315902
In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error structures. We adopted the common correlated effect (CCE) estimation and established the asymptotic properties of the CCE and common correlated effects mean group (CCEMG) estimators, as...
Persistent link: https://www.econbiz.de/10013459498
We consider instrumental variables estimation of a possibly infinite order dynamic panel autoregressive (AR) process with individual effects. The estimation is based on the sieve AR approximation with its lag order increasing with sample size. Transforming the variable to eliminate individual...
Persistent link: https://www.econbiz.de/10014260654
In this paper, we describe a computational implementation of the Synthetic difference-in-differences (SDID) estimator of Arkhangelsky et al. (2021) for Stata. Synthetic difference-in-differences can be used in a wide class of circumstances where treatment effects on some particular policy or...
Persistent link: https://www.econbiz.de/10014261980
We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as the conventional leave-one-out jackknife variance estimator on a transformed space of the regressors and residuals using orthonormal trigonometric basis functions. We prove the...
Persistent link: https://www.econbiz.de/10015084323
This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...
Persistent link: https://www.econbiz.de/10014636394