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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...
Persistent link: https://www.econbiz.de/10011313930
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …
Persistent link: https://www.econbiz.de/10012018487
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Bootstrap methods for inference in the Parks model
Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2020
This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator …
Persistent link: https://www.econbiz.de/10012160012
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Growth and structural changes in transition countries : the chicken or the egg?
Olczyk, Magdalena; Kordalska, Aleksandra - 2018
The theoretical analysis of structural changes in the context of economic growth has a long tradition. However, studies which analyze the empirical relationship between these two economic categories are still very rare. In the literature, whether growth causes structural changes or the other way...
Persistent link: https://www.econbiz.de/10011844751
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Fast and reliable jackknife and bootstrap methods for cluster-robust inference
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
bootstrap, which involve the new CRVEs, jackknife-based bootstrap data-generating processes, or both. Extensive simulation …
Persistent link: https://www.econbiz.de/10013172440
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Estimation and inference in large heterogenous panels with cross section dependence
Pesaran, M. Hashem - 2003
This paper presents a new approach to estimation and inference in panel data models with unobserved common factors … commond factors are eliminated. The estimation procedure has the advantage that it can be computed by OLS applied to an … individual specific regressors. It is shown that the proposed correlated common effects (CCE) estimators for the individual …
Persistent link: https://www.econbiz.de/10011505911
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General diagnostic tests for cross section dependence in panels
Pesaran, M. Hashem - 2004
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...
Persistent link: https://www.econbiz.de/10011449852
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Random coefficient panel data models
Hsiao, Cheng; Pesaran, M. Hashem - 2004
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients formulation using...
Persistent link: https://www.econbiz.de/10011449962
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An intersection test for the cointegrating rank in dependent panel data
Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2016
This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the...
Persistent link: https://www.econbiz.de/10011453075
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Meta-analytic cointegrating rank tests for dependent panels
Karaman Örsal, Deniz Dilan; Arsova, Antonia - 2015
dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic …
Persistent link: https://www.econbiz.de/10011392830