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Likelihood-based cointegration analysis in panels of vector error correction models
Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...
Persistent link: https://www.econbiz.de/10011537937
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A Finite Sample Correction for the Variance of Linear Two-Step GMM Estimators
Windmeijer, Frank - 2005
Monte Carlo studies have shown that estimated asymptotic standard errors of the efficient two-step generalised method of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of the efficient two-step GMM estimator is based on initial...
Persistent link: https://www.econbiz.de/10014141903
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Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank; Paap, Richard - 2003
statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …
Persistent link: https://www.econbiz.de/10011332818
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Testing multiplicative error models using conditional moment tests
Hautsch, Nikolaus - 2008
We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....
Persistent link: https://www.econbiz.de/10003796125
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Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...
Persistent link: https://www.econbiz.de/10003808637
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...
Persistent link: https://www.econbiz.de/10009570680
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...
Persistent link: https://www.econbiz.de/10009545313
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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
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Criterion-Based Inference for GMM in Autoregressive Panel Data Models
Windmeijer, Frank; Bond, Stephen R.; Bowsher, Clive G. - 2001
In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based on the continuously-updated GMM criterion (Hansen,...
Persistent link: https://www.econbiz.de/10014133628