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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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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
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Finance, uncertainty and investment : assessing the gains and losses of a generalized non linear structural approach using Belgian panel data
Gérard, Marcel; Verschueren, Frédéric - 2002
Using panel data for 2,329 Belgian firms observed between 1985 and 1999, this paper aims at getting a better understanding of Belgian firms' investment behavior. Two main and interrelated topics are investigated: the link between financial structure and investment decision, on the one hand, the...
Persistent link: https://www.econbiz.de/10011623460
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An exponential class of dynamic binary choice panel data models with fixed effects
Al-Sadoon, Majid M.; Li, Tong; Pesaran, Mohammad Hashem - 2012
eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM … finite sample performance of our GMM estimators. …
Persistent link: https://www.econbiz.de/10010291322
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An exponential class of dynamic binary choice panel data models with fixed effects
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem - 2012
eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM … finite sample performance of our GMM estimators. …
Persistent link: https://www.econbiz.de/10010291517
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What is the investment loss due to uncertainty?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019
uncertainty. The investment performance of 14 sectors is examined within a dynamic investment model. Robust GMM estimates of the …
Persistent link: https://www.econbiz.de/10012060122
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On GMM estimation of linear dynamic panel data models
Fritsch, Markus - 2019
. Estimation and inference can, however, be carried out with the generalized method of moments (GMM) by suitably aggregating … the GMM estimator. …
Persistent link: https://www.econbiz.de/10012104777
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Market power, scale economies and productivity : estimates from a panel of establishment data
Klette, Tor Jakob - 1998
This paper presents a somewhat new econometric framework that permits simultaneous estimation of price-cost margins, scale economies and productivity from a panel of establishment data. The econometric model contains only a few, economically interesting parameters to be estimated, but it is...
Persistent link: https://www.econbiz.de/10011518864
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A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function
Behr, Andreas - 2003
sample properties of the GMM-methods. In the case of endogenous predetermined regressors, the system-estimator proposed by … Blundell and Bond is unbiased and most efficient, while direct bias corrected estimators perform similar to the GMM … die bekannt günstigen Eigenschaften von GMM-Schätzern bei großer Beobachtungszahl wider. Im Falle endogener …
Persistent link: https://www.econbiz.de/10011431996
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IV-Schätzung eines linearen Panelmodells mit stochastisch überlagerten Betriebs- und Unternehmensdaten
Biewen, Elena; Ronning, Gerd; Rosemann, Martin - 2009
Eines der wichtigsten Verfahren zur Anonymisierung von Betriebs-und Unternehmensdaten ist die stochastische Überlagerung. Ihr Einsatz zur Sicherstellung der faktischen Anonymität der Einheiten eines Datensatzes führt jedoch zu inkonsistenten Schätzungen von linearen Panelmodellen und macht...
Persistent link: https://www.econbiz.de/10003879025