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We consider a framework for analyzing panel data characterized by: (i) a system of regressions equations, (ii) random individual heterogeneity in both intercepts and slope coefficients, and (iii) unbalanced panel data, i.e., panel data where the individual time series have unequal length. A...
Persistent link: https://www.econbiz.de/10010284265
In this paper, we consider the formulation and estimation of systems of regression equations with random individual effects in the intercept terms from unbalanced panel data, i.e., panel data where the individual time series have unequal length. Generalized Least Squares (GLS) estimation and...
Persistent link: https://www.econbiz.de/10010284445
Persistent link: https://www.econbiz.de/10000991387
I propose Robust Rao’s Score (RS) test statistic to determine endogeneity of spatial weights matrices in a spatial dynamic panel data (SDPD) model (Qu, Lee, and Yu, 2017). I firstly introduce the bias-corrected score function since the score function is not centered around zero due to the...
Persistent link: https://www.econbiz.de/10013491649
The estimation of linear, static regression equations from panel data with measurement errors in the regressors is considered. If the latent regressor is autocorrelated or non-stationary, several consistent instrumental variables (IV) and generalized method of moments (GMM) estimators usually...
Persistent link: https://www.econbiz.de/10011518479
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A semiparametric profile likelihood approach based on the first-stage local linear...
Persistent link: https://www.econbiz.de/10014191157
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated 1967) estimator. It then demonstrates that the bootstrap outperforms Parks's top...
Persistent link: https://www.econbiz.de/10012018487
This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator has been a workhorse for the analysis of panel...
Persistent link: https://www.econbiz.de/10012160012
This article introduces a technique to estimate static or dynamic panel data models that feature two dimensions of heterogeneity in the slope and intercept parameters. It is able to consistently estimate the marginal effect for each individual observation as well as the average over a sample,...
Persistent link: https://www.econbiz.de/10012935381
We consider a dynamic panel AR(1) model with fixed effects when both "n" and "T" are large. Under the "T fixed n large" asymptotic approximation, the maximum likelihood estimator is known to be inconsistent due to the well-known incidental parameter problem. We consider an alternative asymptotic...
Persistent link: https://www.econbiz.de/10014130188