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New results on asymptotic properties of likelihood estimators with persistent data for small and large T
Juodis, Artūras; Sarafidis, Vasilis - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 435-461
This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of …
Persistent link: https://www.econbiz.de/10014462297
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General equilibrium long-run determinants for Spanish FDI : a spatial panel data approach
Martínez-Martín, Jaime - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 3, pp. 305-333
recently developed spatial panel data models by maximum likelihood (ML) procedures for Spanish outflows (19932004) to top-50 … direct investment ; spatial econometrics ; panel data …
Persistent link: https://www.econbiz.de/10009355548
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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics : open access journal 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...
Persistent link: https://www.econbiz.de/10011290741
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Panel data estimation for correlated random coefficients models
Hsiao, Cheng; Li, Qi; Liang, Zhongwen; Xie, Wei - In: Econometrics : open access journal 7 (2019) 1/7, pp. 1-18
This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …
Persistent link: https://www.econbiz.de/10012025649
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Change point estimation in panel data without boundary issue
Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of … observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In … in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed …
Persistent link: https://www.econbiz.de/10011636497
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Evaluating factor pricing models using high-frequency panels
Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
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Testing cross-sectional correlation in large panel data models with serial correlation
Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24
This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …
Persistent link: https://www.econbiz.de/10011650378
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140
Persistent link: https://www.econbiz.de/10010433402
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Likelihood-based estimation of dynamic panels with predetermined regressors
Moral-Benito, Enrique - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 451-472
Persistent link: https://www.econbiz.de/10010337857
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10011588856