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GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Moon, Hyungsik Roger; Phillips, Peter C. B. - 2013

unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by … true localizing parameter is zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are …

Persistent link: https://www.econbiz.de/10014101778

GMM Estimation of Dynamic Panel Data Models with Persistent Data

Kruiniger, Hugo - 2002

This paper considers GMM based estimation and testing procedures for two versions of the AR(1) model with Fixed Effects, henceforth abbreviated as ARFE(1): the conditional ARFE(1) model, and the inclusive ARFE(1) model, which contains the stationary ARFE(1) models and the ARFE(1) model with a...

Persistent link: https://www.econbiz.de/10014139745

An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Sadoon, Majid M. al- - 2013

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be …

Persistent link: https://www.econbiz.de/10013089182

An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Sadoon, Majid M. al- - 2012

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be …

Persistent link: https://www.econbiz.de/10013096447

Debt, Inflation and Growth : Robust Estimation of Long-Run Effects in Dynamic Panel Data Models

Chudik, Alexander - 2013

the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …

Persistent link: https://www.econbiz.de/10013072764

Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models

Chudik, Alexander - 2013

the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …

Persistent link: https://www.econbiz.de/10013071384

Almost consistent estimation of panel probit models with "small" fixed effects

Laisney, François; Lechner, Michael - 2002

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …

Persistent link: https://www.econbiz.de/10011447728

The demand for directors' and officers' liability insurance by US public companies

Kaltchev, George D. - 2004

risk as well as provides real-services efficiencies, among others. Applying dynamic panel data models, these theories are … decision-making on corporate insurance and the significance of risk management using US panel data for the first time. …

Persistent link: https://www.econbiz.de/10011568692

Subset-continuous-updating GMM estimators for dynamic panel data models

Ashley, Richard A.; Sun, Xiaojin - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have …

Persistent link: https://www.econbiz.de/10011650481

A Scaled Difference Chi-Square Test Statistic for Moment Structure Analysis

Satorra, Albert; Bentler, Peter M. - 2000

A family of scaling corrections aimed to improve the chi-square approximation of goodness-of-fit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, Satorra-Bentler's (SB) scaling corrections are...

Persistent link: https://www.econbiz.de/10014173788