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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

Persistent link: https://www.econbiz.de/10003824296

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10009535779

A multiple break panel approach to estimating United States Phillips Curves

Russell, Bill; Banerjee, Anindya; Malki, Issam; … - 2010

; panel data ; non-stationary data ; breaks …

Persistent link: https://www.econbiz.de/10003951489

Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates

Hossfeld, Oliver - 2010

panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel … effective exchange rates and currency misalignments for the US and its 16 major trading partners. We apply cointegration and …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced …

Persistent link: https://www.econbiz.de/10011374380