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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
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
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
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
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
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
. 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
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
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
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