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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10011605146
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of … on the nature of the unobserved common effects. -- panels ; strong and weak cross section dependence ; weak and strong …
Persistent link: https://www.econbiz.de/10003854425
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of … on the nature of the unobserved common effects. -- Panels ; strong and weak cross section dependence ; weak and strong …
Persistent link: https://www.econbiz.de/10003963781
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Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics
MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007
offer a general apparatus for estimating parameters of panel-data specifications, though one must introduce a series of … Panel Study of Income Dynamics. …
Persistent link: https://www.econbiz.de/10014024953
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An application of principal component analysis on multivariate time-stationary spatio-temporal data
Stahlschmidt, Stephan; Härdle, Wolfgang; Thome, Helmut - 2014
Principal component analysis denotes a popular algorithmic technique to dimension reduction and factor extraction. Spatial variants have been proposed to account for the particularities of spatial data, namely spatial heterogeneity and spatial autocorrelation, and we present a novel approach...
Persistent link: https://www.econbiz.de/10010251651
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Hierarchical GARCH
Brownlees, Christian T. - 2015
There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In … panel specification in which the coefficients of each series are modeled as a function of observed series characteristic and … an unobserved random effect. A joint panel estimation strategy is proposed to carry out inference for the model. A …
Persistent link: https://www.econbiz.de/10013038502
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Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools
Davydenko, Andrey; Goodwin, Paul - 2021
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...
Persistent link: https://www.econbiz.de/10013314570
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Consistent estimation of global VAR models
Mutl, Jan - 2009
In this paper, I propose an instrumental variable (IV) estimation procedure to estimate global VAR (GVAR) models and show that it leads to consistent and asymptotically normal estimates of the parameters. I also provide computationally simple conditions that guarantee that the GVAR model is stable.
Persistent link: https://www.econbiz.de/10010293999
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Consistent estimation of global VAR models
Mutl, Jan - 2009
In this paper, I propose an instrumental variable (IV) estimation procedure to estimate global VAR (GVAR) models and show that it leads to consistent and asymptotically normal estimates of the parameters. I also provide computationally simple conditions that guarantee that the GVAR model is...
Persistent link: https://www.econbiz.de/10009735344
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Adaptive estimation of the dynamic linear model with fixed effects
Woutersen, Tiemen (contributor);  … - 2002 - [Elektronische Ressource]
is adaptive for any asymptotics with T increasing where T is the number of observations per individual. -- Panel data …
Persistent link: https://www.econbiz.de/10001714098