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Testing for unit roots in nonlinear dynamic heterogeneous panels
He, Changli; Sandberg, Rickard - 2005
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …
Persistent link: https://www.econbiz.de/10010281273
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Expend, a Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data
Windmeijer, Frank - 2002
endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …
Persistent link: https://www.econbiz.de/10010318531
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Testing for unit roots in nonlinear dynamic heterogeneous panels
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …
Persistent link: https://www.econbiz.de/10002595402
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Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
Arellano, Manuel; Blundell, Richard W.; Bonhomme, Stéphane - 2023
In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we …
Persistent link: https://www.econbiz.de/10014248416
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Pdynmc - an R-package for estimating linear dynamic panel data models based on linear and nonlinear moment conditions
Fritsch, Markus; Pua, Andrew Adrian Yu; Schnurbus, Joachim - 2019
pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear … statistician. The description of the functionality is based on replicating the results on a publicly available panel data set …. Additionally, we link our implementation to other software and packages for GMM estimation of linear dynamic panel data models. …
Persistent link: https://www.econbiz.de/10012104784
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Binarization for panel models with fixed effects
Botosaru, Irene; Muris, Chris - 2017
In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …
Persistent link: https://www.econbiz.de/10011662786
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Nonlinear panel data methods for dynamic heterogeneous agent models
Arellanoy, Manuel; Bonhommez, Stéphane - 2016
Recent developments in nonlinear panel data analysis allow identifying and estimating general dynamic systems. In this …
Persistent link: https://www.econbiz.de/10011553118
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Individual and time effects in nonlinear panel models with large N, T
Fernández-Val, Iván; Weidner, Martin - 2015
Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …
Persistent link: https://www.econbiz.de/10010501255
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Nonlinear panel data estimation via quantile regressions
Arellano, Manuel; Bonhomme, Stéphane - 2015 - First draft: February 2013, This draft: July 2015
We introduce a class of quantile regression estimators for short panels. Our framework covers static and dynamic autoregressive models, models with general predetermined regressors, and models with multiple individual effects. We use quantile regression as a flexible tool to model the...
Persistent link: https://www.econbiz.de/10011295600
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Understanding rig rates
Osmundsen, Petter; Rosendahl, Knut Einar; Skjerpen, Terje - 2013
We examine the largest cost component in offshore development projects, drilling rates, which have been high in recent years. To our knowledge, rig rates have not been analysed empirically before in the economic literature. Using econometric analysis, we examine the effects of gas and oil...
Persistent link: https://www.econbiz.de/10010223432