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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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What is the investment loss due to uncertainty?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019
We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...
Persistent link: https://www.econbiz.de/10012060122
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Financing constraints and R&D investments of large corporations in Europe and the USA
Cincera, Michele; Ravet, Julien - 2010
This paper explores the existence and importance of financing constraints for R&D investments in large EU and US manufacturing companies over the 2000-2007 period. The main results obtained by estimating error-correction equations suggest that the sensitivity of R&D investments to cash flow...
Persistent link: https://www.econbiz.de/10011980362
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Exploiting information from singletons in panel data analysis : a GMM approach
Bruno, Randolph; Magazzini, Laura; Stampini, Marco - 2019
We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...
Persistent link: https://www.econbiz.de/10012034327
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A Spatial Dynamic Panel Model with Random Effects Applied to Commuting Times
Parent, Olivier; LeSage, James P. - 2013
A space–time filter is set forth for spatial panel data situations that include random effects. We propose a general … spatial dynamic specification that encompasses several spatiotemporal models previously used in the panel data literature. We … apply the model to the case of highway induced travel demand. The theory of induced travel demand asserts that increased …
Persistent link: https://www.econbiz.de/10014156327
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GMM Estimation of Dynamic Panel Data Models with Persistent Data
Kruiniger, Hugo - 2002
This paper considers GMM based estimation and testing procedures for two versions of the AR(1) model with Fixed Effects, henceforth abbreviated as ARFE(1): the conditional ARFE(1) model, and the inclusive ARFE(1) model, which contains the stationary ARFE(1) models and the ARFE(1) model with a...
Persistent link: https://www.econbiz.de/10014139745
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IV, GMM or Likelihood Approach to Estimate Dynamic Panel Models When Either N or T or Both Are Large
Hsiao, Cheng - 2015
We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both …
Persistent link: https://www.econbiz.de/10013028926
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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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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