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Spatial dynamic panel model and system GMM : a Monte Carlo investigation
Kukenova, Madina; Monteiro, José-Antonio - 2009 - Draft: February 2009
This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … suggest that, in order to account for the endogeneity of several covariates, spatial dynamic panel models should be estimated …
Persistent link: https://www.econbiz.de/10011976850
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Spatial Dynamic Panel Model and System GMM : A Monte Carlo Investigation
Kukenova, Madina; Monteiro, José-Antonio - 2009
This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … account for the endogeneity of several covariates, spatial dynamic panel models should be estimated using extended GMM. On a …
Persistent link: https://www.econbiz.de/10014047051
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Testing Endogeneity of Spatial Weights Matrices in Spatial Dynamic Panel Data Models
Lee, Jieun - 2022
dynamic panel data (SDPD) model (Qu, Lee, and Yu, 2017). I firstly introduce the bias-corrected score function since the score …
Persistent link: https://www.econbiz.de/10013491649
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Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
Gao, Jiti; Chen, Jia; Li, Degui - 2010
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis …
Persistent link: https://www.econbiz.de/10014191157
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An application of principal component analysis on multivariate time-stationary spatio-temporal data
Stahlschmidt, Stephan; Härdle, Wolfgang; Thome, Helmut - 2014
Principal component analysis denotes a popular algorithmic technique to dimension reduction and factor extraction. Spatial variants have been proposed to account for the particularities of spatial data, namely spatial heterogeneity and spatial autocorrelation, and we present a novel approach...
Persistent link: https://www.econbiz.de/10010251651
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Hierarchical GARCH
Brownlees, Christian T. - 2015
There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In … panel specification in which the coefficients of each series are modeled as a function of observed series characteristic and … an unobserved random effect. A joint panel estimation strategy is proposed to carry out inference for the model. A …
Persistent link: https://www.econbiz.de/10013038502
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Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools
Davydenko, Andrey; Goodwin, Paul - 2021
Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...
Persistent link: https://www.econbiz.de/10013314570
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10011605240
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, Mohammad Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10010276270
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10003969212