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Tackling boundary effects in nonparametric estimation of intra-day liquidity measures

Grammig, Joachim - 2001

Persistent link: https://www.econbiz.de/10013444436

Preis- und Mengenreaktionen schweizerischer Industrieunternehmungen auf Nachfrageschocks : eine mikroökonometrische Untersuchung

Marty, Rudolf - 1993

Persistent link: https://www.econbiz.de/10013408823

A series approximation of the bias in nonlinear panel data models with fixed effects

Chavleishvili, Sulkhan - In: Essays in econometrics, (pp. 61-86). 2014

Persistent link: https://www.econbiz.de/10011283928

Individual and time effects in nonlinear panel models with large N, T

Fernández-Val, Iván; Weidner, Martin - 2015

problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time effects … introduce additional incidental parameter bias. As the existing bias corrections apply to models with only individual effects … use of large-T bias adjustments to an important class of models. We also analyze the properties of fixed effects …

Persistent link: https://www.econbiz.de/10010501255

Intercept estimation in nonlinear selection models

Arulampalam, Wiji; Corradi, Valentina; Gutknecht, Daniel - 2021

We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identifed. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal...

Persistent link: https://www.econbiz.de/10012518068