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Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong

Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2022

This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large …

Persistent link: https://www.econbiz.de/10012817934

Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions

Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - In: Econometric reviews 40 (2021) 2, pp. 177-196

Persistent link: https://www.econbiz.de/10012483806

Spatial multivariate regressions with panel data

Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016

We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of … spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …

Persistent link: https://www.econbiz.de/10012059270

Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance

Wu, Jianhong - In: Economics letters 176 (2019), pp. 60-63

Persistent link: https://www.econbiz.de/10012121231

Latent Markov models for longitudinal data

Bartolucci, Francesco - 2013

"Preface. Latent Markov models represent an important class of latent variable models for the analysis of longitudinal data, when the response variables measure common characteristics of interest which are not directly observable. Typically, the response variables are categorical, even if...

Persistent link: https://www.econbiz.de/10013547624

Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong

Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - In: Journal of applied econometrics 37 (2022) 7, pp. 1356-1378

Persistent link: https://www.econbiz.de/10013473983

Dynamic Nonparametric Clustering of Multivariate Panel Data

Custodio João, Igor; Lucas, Andre; Schwaab, Bernd; … - 2023

We introduce a new dynamic clustering method for multivariate panel data char-acterized by time-variation in cluster … current center of their previous cluster as-signment. This links consecutive cross-sections in the panel together … settings. The method is illustrated using a multivariate panel of four accounting ratios for 28 large European insurance firms …

Persistent link: https://www.econbiz.de/10014257567

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo (contributor); … - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10003636063

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo; Kapetanios, George - In: Econometric reviews 28 (2009) 6, pp. 581-611

Persistent link: https://www.econbiz.de/10003881191

On rank tests for shift detection in time series

Fried, Roland (contributor); Gather, Ursula (contributor) - 2006

Robustified rank tests, applying a robust scale estimator, are investigated for reliable and fast shift detection in time series. The tests show good power for sufficiently large shifts, low false detection rates for Gaussian noise and high robustness against outliers. Wilcoxon scores in...

Persistent link: https://www.econbiz.de/10003482595