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Testing of parameter's instability in a balanced panel : an application to real effective exchange rate for SAARC countries
Agiwal, Varun; Kumar, Jitendra; Sharma, Sumit Kumar - 2017
Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …
Persistent link: https://www.econbiz.de/10011785064
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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …
Persistent link: https://www.econbiz.de/10011302148
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Smoothed Spatial Maximum Score Estimation of Spatial Autoregressive Binary Choice Panel Models
Lei, Jinghua - 2013
This paper considers spatial autoregressive (SAR) binary choice models in the context of panel data with fixed effects …
Persistent link: https://www.econbiz.de/10014151984
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A unified framework for dynamic treatment effect estimation in interactive fixed effect models
Brown, Nicholas; Butts, Kyle - 2022
We present a unifying identification strategy of dynamic average treatment effect parameters for staggered interventions when parallel trends are valid only after controlling for interactive fixed effects. This setting nests the usual parallel trends assumption, but allows treated units to have...
Persistent link: https://www.econbiz.de/10013556783
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Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019
This paper considers the problem of identification, estimation and inference in the case of spatial panel data models …
Persistent link: https://www.econbiz.de/10011983664
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Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models
Gørgens, Tue - 2009
This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual …-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth … transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel …
Persistent link: https://www.econbiz.de/10013155131
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943386
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943450
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Panel data estimators and aggregation
Biørn, Erik - 2016
For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period …
Persistent link: https://www.econbiz.de/10011585187
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012946881