Showing 41 - 50 of 51,770
Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...
Persistent link: https://www.econbiz.de/10010330335
One of the oldest and largest literatures in empirical economics is concerned with the estimation of demand and supply of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective empirical models specified and estimated are often...
Persistent link: https://www.econbiz.de/10010333385
General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With...
Persistent link: https://www.econbiz.de/10011967962
In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …
Persistent link: https://www.econbiz.de/10012013648
A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...
Persistent link: https://www.econbiz.de/10013208900
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic...
Persistent link: https://www.econbiz.de/10013208907
This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...
Persistent link: https://www.econbiz.de/10010281265
This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...
Persistent link: https://www.econbiz.de/10010281303
This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...
Persistent link: https://www.econbiz.de/10010288235
This paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include...
Persistent link: https://www.econbiz.de/10005504094