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Bias-corrected Moment-based Estimators for Parametric Models under Endogenous Stratified Sampling

Ramalho, Joaquim J.S.; Ramalho, Esmeralda - Departamento de Economia, Universidade de Évora - 2005

This paper provides an integrated approach for estimating parametric models from endogenous stratified samples. We discuss several alternative ways of removing the bias of the moment indicators usually employed under random sampling for estimating the parameters of the structural model and the...

Persistent link: https://www.econbiz.de/10005398701

Asymptotic Inference for Dynamic Panel Estimators of Innite Order Autoregressive Processes

Lee, Yoon-Jin; Okui, Ryo; Shintani, Mototsugu - Institute of Economic Research, Kyoto University - 2013

In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly innite order in the presence of individual effects. We utilize the sieve AR approximation with its lag order increasing with the sample size. We establish the consistency and asymptotic normality...

Persistent link: https://www.econbiz.de/10010860069

Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment

Lokshin, Boris - United Nations University-Maastricht Economic Research … - 2008

This paper extends the LSDV bias-corrected estimator in [Bun, M., Carree, M.A. 2005. Bias-corrected estimation in dynamic panel data models, Journal of Business and Economic Statistics, 23(2): 200-10] to unbalanced panels and discusses the analytic method of obtaining the solution. Using a Monte...

Persistent link: https://www.econbiz.de/10010712282

A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

sample properties of the GMM-methods. In the case of endogenous predetermined regressors, the system-estimator proposed by … Blundell and Bond is unbiased and most efficient, while direct bias corrected estimators perform similar to the GMM … die bekannt günstigen Eigenschaften von GMM-Schätzern bei großer Beobachtungszahl wider. Im Falle endogener …

Persistent link: https://www.econbiz.de/10010295751

Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment

Lokshin, Boris - United Nations University, Maastricht Economic and … - 2008

Persistent link: https://www.econbiz.de/10005150819

A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function

Behr, Andreas - Deutsche Bundesbank - 2003

Persistent link: https://www.econbiz.de/10005083105

In search of robust methods for dynamic panel data models in empirical corporate finance

Dang, Viet Anh; Kim, Minjoo; Shin, Yongcheol - In: Journal of Banking & Finance 53 (2015) C, pp. 84-98

simulations show that the instrumental variable and GMM estimators are unreliable, and sensitive to the presence of unobserved …

Persistent link: https://www.econbiz.de/10011209851

A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

Persistent link: https://www.econbiz.de/10011431996

In search of robust methods for dynamic panel data models in empirical corporate finance

Dang, Viet Anh; Kim, Minjoo; Shin, Yongcheol - In: Journal of banking & finance 53 (2015), pp. 84-98

Persistent link: https://www.econbiz.de/10011377703

Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy

Guo, Yingwen; Zhou Z.F., Sherry - In: Hitotsubashi Journal of Economics 52 (2011) 1, pp. 1-11

A duration analysis is adopted in this study to investigate the determinants of the "interest rate spells" across ten countries (or area) . Both parametric and nonparametric methods are employed for the analysis. It is found that the length of "interest rate spells" is affected by both the rate...

Persistent link: https://www.econbiz.de/10009209558

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