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CCE estimation of high-dimensional panel data models with interactive fixed effects

Vogt, Michael; Walsh, Christopher; Linton, Oliver - 2022

Persistent link: https://www.econbiz.de/10013485021

Millimet, Daniel L.; Bellemare, Marc F. - 2023

Across many disciplines, the fixed effects estimator of linear panel data models is the default method to estimate … panel. We consider several alternatives to the fixed effects estimator with T > 2 when relevant unit-specific heterogeneity … results from multiple linear panel data estimators in applied research. …

Persistent link: https://www.econbiz.de/10014286978

The two-way Mundlak estimator

Baltagi, Badi H. - In: Econometric reviews 42 (2023) 2, pp. 240-246

Persistent link: https://www.econbiz.de/10014305504

Panel cointegrating polynomial regressions : group-mean fully modified OLS estimation and inference

Wagner, Martin; Reichold, Karsten - In: Econometric reviews 42 (2023) 4, pp. 358-392

Persistent link: https://www.econbiz.de/10014305520

Quantifying noise in survey expectations

Juodis, Artūras; Kucinskas, Simas - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 609-650

Expectations affect economic decisions, and inaccurate expectations are costly. Expectations can be wrong due to either bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in survey expectations. The method is based on the...

Persistent link: https://www.econbiz.de/10014308585

Sample selection in linear panel data models with heterogeneous coefficients

Carlson, Alyssa; Joshi, Riju - In: Journal of applied econometrics 39 (2024) 2, pp. 237-255

Persistent link: https://www.econbiz.de/10014517326

Sample selection in linear panel data models with heterogeneous coefficients

Carlson, Alyssa; Joshi, Riju - 2022

Persistent link: https://www.econbiz.de/10013393512

Micro responses to macro shocks

Almuzara, Martín; Sancibrián, Victor - 2024

We study estimation and inference in panel data regression models when the regressors of interest are macro shocks …

Persistent link: https://www.econbiz.de/10014501208

A pretest estimator for the two-way error component model

Baltagi, Badi H.; Bresson, Georges; Etienne, Jean-Michel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-15

For a panel data linear regression model with both individual and time effects, empirical studies select the two … correlated with these individual and time effects. This paper proposes a pretest estimator for this two-way error component panel …

Persistent link: https://www.econbiz.de/10014636418

Identification of average marginal effects in fixed effects dynamic discrete choice models

Aguirregabiria, Victor; Carro, Jesus - 2021

Persistent link: https://www.econbiz.de/10012589611