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Cao, Shiyun; Zhou, Qiankun - In: Econometrics : open access journal 10 (2022) 3, pp. 1-27

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error structures. We adopted the common correlated effect (CCE) estimation and established the asymptotic properties of the CCE and common correlated effects mean group (CCEMG) estimators, as...

Persistent link: https://www.econbiz.de/10013459498

Quadratic Shrinkage for Large Covariance Matrices

Ledoit, Olivier; Wolf, Michael - 2020

This paper constructs a new estimator for large covariance matrices by drawing a bridge between the classic Stein (1975) estimator in finite samples and recent progress under large-dimensional asymptotics. The estimator keeps the eigenvectors of the sample covariance matrix and applies shrinkage...

Persistent link: https://www.econbiz.de/10014352324

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Ait-Sahalia, Yacine - 2010

This paper proposes a consistent and efficient estimator of the high frequency covariance (quadratic covariation) of two arbitrary assets, observed asynchronously with market microstructure noise. This estimator is built upon the marriage of the quasi-maximum likelihood estimator of the...

Persistent link: https://www.econbiz.de/10013141704

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Ledoit, Olivier - 2013

Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension is large compared to the sample size, which happens frequently, the sample covariance matrix is known to perform poorly and may suffer from ill-conditioning. There already...

Persistent link: https://www.econbiz.de/10013094215

Stein-like common correlated effects estimation under structural breaks

Parsaeian, Shahnaz - In: Econometrics : open access journal 12 (2024) 2, pp. 1-23

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common correlated effects (CCE) estimation technique, we...

Persistent link: https://www.econbiz.de/10014636414

Harding, Matthew - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

Persistent link: https://www.econbiz.de/10012908711

Harding, Matthew - 2018

Persistent link: https://www.econbiz.de/10012911881

Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018

Persistent link: https://www.econbiz.de/10011898624

Estimating Demand Elasticities Using Nonlinear Pricing

Dalton, Christina - 2013

Nonlinear pricing is prevalent in industries such as health care, public utilities, and telecommunications. However, nonlinear pricing in these sectors causes bias when estimating elasticities for welfare analysis or policy changes. This paper develops a local elasticity estimation method that...

Persistent link: https://www.econbiz.de/10013087304

Demand estimation with selection bias : a dynamic game approach with an application to the US railroad industry

Coublucq, Daniel - 2013

waves. The empirical focus concerns the estimation of a structural demand model for the US railroad industry. Then, the … demand estimates are used to compute the evolution of the mark-ups, the quality of the freight services provided, and the … explicitly into account this attrition issue. I find that the algorithm produces more plausible estimates of demand coefficients …

Persistent link: https://www.econbiz.de/10009753344