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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2012
We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discretechoice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...
Persistent link: https://www.econbiz.de/10009521645
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Using the Helmert-transformation to reduce dimensionality in a mixed model : application to a wage equation with worker and firm heterogeneity
Nilsen, Øivind Anti; Raknerud, Arvid; Skjerpen, Terje - 2011
A model for matched data with two types of unobserved heterogeneity is considered - one related to the observation unit, the other to units to which the observation units are matched. One or both of the unobserved components are assumed to be random. This mixed model allows identification of the...
Persistent link: https://www.econbiz.de/10009310956
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Quasi maximum likelihood estimation of spatial models with heterogeneous coefficients
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2015
This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … sample properties for panels with moderate time dimensions and irrespective of the number of cross section units in the panel …
Persistent link: https://www.econbiz.de/10011283005
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Quasi maximum likelihood estimation of spatial models with heterogeneous coefficients
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2015
This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … sample properties for panels with moderate time dimensions and irrespective of the number of cross section units in the panel …
Persistent link: https://www.econbiz.de/10011288787
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A new view on panel econometrics : is probit feasible after all?
Praag, Bernard M. S. van - 2015
Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects … we demonstrate that in this extended setup Probit estimation on panel data sets does not pose a specific problem. The …
Persistent link: https://www.econbiz.de/10011336953
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A new view on panel econometrics : is probit feasible after all?
Praag, Bernard M. S. van - 2015
Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects … Section 4 we demonstrate that in this extended setup Probit - estimation on panel data sets does not pose a specific problem …
Persistent link: https://www.econbiz.de/10011337153
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …
Persistent link: https://www.econbiz.de/10011348362
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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models …
Persistent link: https://www.econbiz.de/10011313930
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The accuracy of inference in small samples of dynamic panel data models
Bun, Maurice J. G.; Kiviet, J. F. - 2001
Through Monte Carlo experiments the small sample behavior is examinedof various inference techniques for dynamic panel …
Persistent link: https://www.econbiz.de/10011313931
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Nearly unbiased estimation in dynamic panel data models with exogenous variables
Carree, Martin Anthony - 2002
This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This …
Persistent link: https://www.econbiz.de/10011325972