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Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices

Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

Persistent link: https://www.econbiz.de/10011983664

Identification‐ and singularity‐robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746

This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test … and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment …‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k ≥ p …

Persistent link: https://www.econbiz.de/10012202897

Generalized band spectrum estimation with an application to the New Keynesian Phillips curve

Choi, Jinho; Escanciano, Juan Carlos; Guo, Junjie - In: Journal of applied econometrics 37 (2022) 5, pp. 1055-1078

Persistent link: https://www.econbiz.de/10013464648

Misspecified moment inequality models : inference and diagnostics

Andrews, Donald W. K.; Kwon, Soonwoo - In: The review of economic studies : RES 91 (2024) 1, pp. 45-76

Persistent link: https://www.econbiz.de/10014528566

An expository note on the existence of moments of Fuller and HFUL estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013

In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this...

Persistent link: https://www.econbiz.de/10009766695

Efficient GMM estimation of a Cliff and Ord panel data model with random effects

Piras, Gianfranco - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 370-388

Persistent link: https://www.econbiz.de/10010202700

Panel data models with nonadditive unobserved heterogeneity : estimation and inference

Fernández-Val, Iván; Lee, Joonhwah - In: Quantitative economics : QE ; journal of the … 4 (2013) 3, pp. 453-481

Persistent link: https://www.econbiz.de/10010252381

Dynamic capital structure adjustment : which estimator yields consistent and efficient estimates?

Moyo, Vusani - In: Journal of economic and financial sciences 9 (2016) 1, pp. 209-227

Persistent link: https://www.econbiz.de/10011537670

On the asymptotic distribution of ridge regression estimators using training and test samples

Sengupta, Nandana; Sowell, Fallaw - In: Econometrics : open access journal 8 (2020) 4/39, pp. 1-25

The asymptotic distribution of the linear instrumental variables (IV) estimator with empirically selected ridge regression penalty is characterized. The regularization tuning parameter is selected by splitting the observed data into training and test samples and becomes an estimated parameter...

Persistent link: https://www.econbiz.de/10012312086

Large sample properties of an IV estimator based on the Ahn and Schmidt moment conditions

Pua, Andrew Adrian Yu; Fritsch, Markus; Schnurbus, Joachim - 2019

We propose an instrumental variables (IV) estimator based on nonlinear (in param- eters) moment conditions for estimating linear dynamic panel data models and derive the large sample properties of the estimator. We assume that the only explanatory variable in the model is one lag of the...

Persistent link: https://www.econbiz.de/10012104780