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Hansen, Bruce - 2018

We provide a complete asymptotic distribution theory for clustered data with a large number of groups, generalizing the classic laws of large numbers, uniform laws, central limit theory, and clustered covariance matrix estimation. Our theory allows for clustered observations with heterogeneous...

Persistent link: https://www.econbiz.de/10012930707

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

Generalized Reduced Rank Regression

Hansen, Peter Reinhard - 2004

the leading case is estimation of panel cointegration models …

Persistent link: https://www.econbiz.de/10014119606

Why heavily indebted poor countries have failed to pay back their debt? An empirical investigation (in English)

Tiruneh, Menbere Workie - In: Czech Journal of Economics and Finance (Finance a uver) 55 (2005) 3-4, pp. 124-140

This paper, in using cross-section pooled logit, probit, and fixed-effects logit models, empirically explores the main factors affecting the rescheduling of contractual debt-service payments by heavily indebted poor countries (HICPs) in the late 1980s and the 1990s. The results seem to suggest...

Persistent link: https://www.econbiz.de/10005808627

Determinants of Growth and Convergence in Transitive Economies in the 1990s: Empirical Evidence from a Panel Data

Workie, Menbere T. - In: Prague Economic Papers 2005 (2005) 3, pp. 239-251

. Switching to a panel data approach, and controlling for macroeconomic stability, financial development, human and physical …

Persistent link: https://www.econbiz.de/10005036516

GMM Estimation of Short Dynamic Panel Data Models With Error Cross-Sectional Dependence

Sarafidis, Vasilis - Volkswirtschaftliche Fakultät, … - 2009

This paper considers the issue of GMM estimation of a short dynamic panel data model when the errors are correlated … for the dynamic panel GMM estimator to remain consistent. To this end, we demonstrate that cross-sectional independence … structure dependence does not. Consequently, the dynamic panel GMM estimator is consistent only in the first case. Under cross …

Persistent link: https://www.econbiz.de/10008645129

Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors

Powell, David - RAND - 2010

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are … effects or differencing of data, however, redefines the quantiles. This paper introduces a quantile estimator for panel data …

Persistent link: https://www.econbiz.de/10008828515

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

A general double robustness result for estimating average treatment effects

Słoczyński, Tymon; Wooldridge, Jeffrey M. - 2014

In this paper we study doubly robust estimators of various average treatment effects under unconfoundedness. We unify and extend much of the recent literature by providing a very general identification result which covers binary and multi-valued treatments; unnormalized and normalized weighting;...

Persistent link: https://www.econbiz.de/10010339580

Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Doğan, Osman - In: Econometrics : open access journal 3 (2015) 1, pp. 101-127

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...

Persistent link: https://www.econbiz.de/10011290741