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Panels with non-stationary multifactor error structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of econometrics 160 (2011) 2, pp. 326-348
Persistent link: https://www.econbiz.de/10009242244
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10003355571
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003360302
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Panels with nonstationary multifactor error structures
Kapetanios, George (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003364871
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Panels with Nonstationary Multifactor Error Structures
Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - 2021
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10013317495
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Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave
Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - 2014
outcomes directly. In this paper we propose two alternative Bayesian treatment modeling and inferential frameworks for panel … to the labor market. The frameworks differ in their modeling of the endogeneity of the treatment and the panel structure …
Persistent link: https://www.econbiz.de/10011346040
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Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Journal of econometrics 220 (2021) 2, pp. 504-531
Persistent link: https://www.econbiz.de/10012618527
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Quantifying noise in survey expectations
Juodis, Artūras; Kucinskas, Simas - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 609-650
Expectations affect economic decisions, and inaccurate expectations are costly. Expectations can be wrong due to either bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in survey expectations. The method is based on the...
Persistent link: https://www.econbiz.de/10014308585
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors
Čížek, Pavel; Jacobs, Jan; Ligthart, Jenny E.; … - 2015
spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one …-period lag of the dependent variable as additional explanatory variables. Combining this approach with the dynamic panel-data GMM …, spatial lags, and sets of exogenous variables yields new spatial dynamic panel data estimators. The proposed spatially …
Persistent link: https://www.econbiz.de/10014175015