Narrow search
Showing 1 - 10 of 11,268
Cover Image
Inference for Iterated GMM Under Misspecification and Clustering
Hansen, Bruce E.; Lee, Seojeong - 2019
This paper develops a new distribution theory and inference methods for over-identified Generalized Method of Moments (GMM) estimation focusing on the iterated GMM estimator, allowing for moment misspecification, and for clustered dependence with heterogeneous and growing cluster sizes. This...
Persistent link: https://www.econbiz.de/10014033687
Cover Image
Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
Gao, Jiti; Chen, Jia; Li, Degui - 2010
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis …
Persistent link: https://www.econbiz.de/10014191157
Cover Image
Panel Data Quantile Regression for Treatment Effect Models
Ishihara, Takuya - 2021
stationarity assumptions. Ishihara (2020) explores identification of the nonseparable panel data model under these assumptions and …
Persistent link: https://www.econbiz.de/10013314378
Cover Image
Testing Endogeneity of Spatial Weights Matrices in Spatial Dynamic Panel Data Models
Lee, Jieun - 2022
dynamic panel data (SDPD) model (Qu, Lee, and Yu, 2017). I firstly introduce the bias-corrected score function since the score …
Persistent link: https://www.econbiz.de/10013491649
Cover Image
Spatial dynamic panel model and system GMM : a Monte Carlo investigation
Kukenova, Madina; Monteiro, José-Antonio - 2009 - Draft: February 2009
This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … suggest that, in order to account for the endogeneity of several covariates, spatial dynamic panel models should be estimated …
Persistent link: https://www.econbiz.de/10011976850
Cover Image
Spatial Dynamic Panel Model and System GMM : A Monte Carlo Investigation
Kukenova, Madina; Monteiro, José-Antonio - 2009
This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … account for the endogeneity of several covariates, spatial dynamic panel models should be estimated using extended GMM. On a …
Persistent link: https://www.econbiz.de/10014047051
Cover Image
Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both N and T are Large
Hahn, Jinyong; Kuersteiner, Guido M. - 2003
We consider a dynamic panel AR(1) model with fixed effects when both "n" and "T" are large. Under the "T fixed n large …
Persistent link: https://www.econbiz.de/10014130188
Cover Image
Maximum likelihood estimation and lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors: An application to hedonic housing prices...
Baltagi, Badi H.; Bresson, Georges - 2010
This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …
Persistent link: https://www.econbiz.de/10010274576
Cover Image
Maximum likelihood estimation and lagrange multiplier tests for panel seemingly unrelated regressions with spatial lag and spatial errors : an application to hedonic housing prices...
Baltagi, Badi H.; Bresson, Georges - 2010
This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …
Persistent link: https://www.econbiz.de/10009013035
Cover Image
Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors : An Application to Hedonic Housing Prices...
Baltagi, Badi H. - 2010
This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …
Persistent link: https://www.econbiz.de/10013137243