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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943386
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943450
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Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects
Sun, Yiguo - 2017
This paper develops an innovative way of estimating a functional-coefficient spatial autoregressive panel data model …
Persistent link: https://www.econbiz.de/10012944279
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Instrumental Variable Estimation of Large Panel Data Models with Common Factors
Kripfganz, Sebastian - 2020
for estimating large panel data models with unobserved common factors or interactive effects, as developed by Norkute et … popular ivregress Stata command. Notably, xtivdfreg also permits estimation of the two-way error components panel data model …
Persistent link: https://www.econbiz.de/10012826354
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Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors
Kripfganz, Sebastian - 2015
We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors...
Persistent link: https://www.econbiz.de/10013016951
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Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors
Kripfganz, Sebastian - 2016
This paper considers estimation methods and inference for linear dynamic panel data models with unit … depth does not. Finally, we estimate a dynamic Mincer equation with data from the Panel Study of Income Dynamics to …
Persistent link: https://www.econbiz.de/10012988776
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On the Bias of the LSDV Estimator in Dynamic Panel Data Models with Endogenous Regressors
Kurennoy, Alexey - 2014
This paper studies the behaviour of the bias corrected LSDV estimator and GMM-based estimators in dynamic panel data …
Persistent link: https://www.econbiz.de/10013043512
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Debt, inflation and growth : robust estimation of long-run effects in dynamic panel data models
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2013
the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …
Persistent link: https://www.econbiz.de/10010212372
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Estimation of linear dynamic panel data models with time-invariant regressors
Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This Version: May 6, 2013
This paper considers estimation methods and inference for linear dynamic panel data models with unit … depth does not. Finally, we estimate a dynamic Mincer equation with data from the Panel Study of Income Dynamics to …
Persistent link: https://www.econbiz.de/10009775613
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Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2021
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10013315902