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Panel vector autoregressive models: a survey

Canova, Fabio; Ciccarelli, Matteo - European Central Bank - 2013

This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is...

Persistent link: https://www.econbiz.de/10010686724

Moment-based Estimation of Latent Class Models of Event Counts

Deb, Partha; TRIVEDI, PRAVIN K - Department of Economics, University of California-San … - 1998

This paper develops and implements a GMM estimator for latent class models suitable for count data. The estimator uses conditional moment restrictions derived from standard count models. Both the efficient and consistent variants are considered. The implementation of optimal GMM based on...

Persistent link: https://www.econbiz.de/10010817540

Panel vector autoregressive models: a survey

Canova, Fabio; Ciccarelli, Matteo - 2013

Persistent link: https://www.econbiz.de/10011605552

Statistical Methods for Nonlinear Dynamic Models with Measurement Error Using the Ricker Model

Resendes, David Joseph - 2011

leads to biased estimates and adversely affects inference if ignored. In the literature, often convenient distribution … ignored entirely. In this thesis, ways to estimate the parameters of the Ricker model and perform inference while accounting … investigated for data on the abundance and log-abundance scales, and how inference is done via the parametric bootstrap and …

Persistent link: https://www.econbiz.de/10009468234

Implementing the Panel Event Study

Clarke, Damian; Schythe, Kathya Tapia - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012270202

Synthetic Difference-in-Differences Estimation

Clarke, Damian; Pailañir, Daniel; Athey, Susan; … - 2023

and when adoption is staggered over time, and discuss estimation and inference in each of these cases. We introduce the …, inference, and visualization of results. …

Persistent link: https://www.econbiz.de/10014296651

The Bernoulli model, from <i>Econometric Modeling: A Likelihood Approach</i>

Hendry, David F.; Nielsen, Bent - Princeton University Press

foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent … and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and …

Persistent link: https://www.econbiz.de/10005453782

Preface to Econometric Modeling: A Likelihood Approach

Hendry, David F.; Nielsen, Bent - Princeton University Press

Persistent link: https://www.econbiz.de/10005453801

Inference in dynamic discrete choice problems under local misspecification

Bugni, Federico A.; Ura, Takuya - In: Quantitative Economics 10 (2019) 1, pp. 67-103

inference in these models. Specifically, we consider a local misspecification framework in which specification errors are …

Persistent link: https://www.econbiz.de/10012215367

Inference in dynamic discrete choice problems under local misspecification

Bugni, Federico A.; Ura, Takuya - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 67-103

inference in these models. Specifically, we consider a local misspecification framework in which specification errors are …

Persistent link: https://www.econbiz.de/10011994830