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Alternative Estimators of Cointegrating Parameters in Models With Non-Stationary Data : An Application to US Export Demand

Forest, James J. - 2009

properties even with lower truncation lags for the lagged variables included in the estimation equation. An application is then … provided which examines the nature of the equilibrium relationship between aggregate US exports, world trade and the US real … exchange rate. This confirms that estimation of the equilibrium parameters of this relationship by the Bewley transformation …

Persistent link: https://www.econbiz.de/10013157499

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

Consistent estimation in pseudo panels in the presence of selection bias

Mora, Jhon James; Muro, Juan - 2014

with argument equal to the "normit" of a consistent estimation of the conditional probability of being observed given … finite samples. As a "side effect" the authors utilize the enlarged pseudo panel to provide a GMM consistent estimation of …

Persistent link: https://www.econbiz.de/10010440591

Biørn, Erik - 2014 - This version December 2014

potential of IV estimation procedures. Supplementary Monte Carlo simulations are provided for two of the example models. …

Persistent link: https://www.econbiz.de/10010459136

Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure

Norkute, Milda - 2019

model is defactored by the extracted factors from the residuals of the _rst step estimation and subsequently obtain the _nal …

Persistent link: https://www.econbiz.de/10012900011

Using lasso-type penalties to model time-varying covariate effects in panel data regressions : a novel approach illustrated by the 'death of distance' in international trade

Hess, Wolfgang; Persson, Maria; Rubenbauer, Stephanie; … - 2013

When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized regression techniques. To illustrate the usefulness of...

Persistent link: https://www.econbiz.de/10009722024

Determinants of Uganda's export performance : a gravity model analysis

Karamuriro, Henry Tumwebaze; Karukuza, Wilfred Nahamya - In: International journal of business and economics … 4 (2015) 2, pp. 45-54

Persistent link: https://www.econbiz.de/10011296162

Estimating causal effects with observational data guidelines for agricultural and applied economists

Henningsen, Arne; Low, Guy; Wuepper, David; Dalhaus, Tobias - 2024

Most research questions in agricultural and applied economics are of a causal nature, i.e., how one or more variables (e.g., policies, prices, the weather) affect one or more other variables (e.g., the welfare of individuals or the society, the demanded or produced quantity, pollution). Only a...

Persistent link: https://www.econbiz.de/10015162983

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling : A Sequential Monte Carlo Approach

Bognanni, Mark - 2015

Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have...

Persistent link: https://www.econbiz.de/10013031756

A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped …

Persistent link: https://www.econbiz.de/10001751405