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Panel data with measurement errors : instrumental variables and GMM procedures combining levels and differences

Biørn, Erik - 1998

The estimation of linear, static regression equations from panel data with measurement errors in the regressors is … delimiting the valid IV's are redundant. Illustrations based on data on inputs and outputs from an eight year panel of …

Persistent link: https://www.econbiz.de/10011518479

Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

Persistent link: https://www.econbiz.de/10014357208

A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects

Hayakawa, Kazuhiko; Nagata, Shuichi; Yamagata, Takashi - 2018

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …

Persistent link: https://www.econbiz.de/10011879510

The Asymptotics for Panel Models with Common Shocks

Kao, Chihwa - 2011

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating of the residuals of the reduced-form...

Persistent link: https://www.econbiz.de/10013126681

Estimation and inference in large heterogenous panels with cross section dependence

Pesaran, M. Hashem - 2003

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …

Persistent link: https://www.econbiz.de/10011505911

Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structur e

Norkuté, Milda; Sarafidis, Vasilis; Yamagata, Takashi - 2018

This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with … estimators in dynamic panel data models. The finite sample performance of the proposed estimator is investigated using simulated …

Persistent link: https://www.econbiz.de/10011804740

Estimating regression systems from unbalanced panel data: A stepwise maximum likelihood procedure

Biørn, Erik - 1999

effects in the intercept terms from unbalanced panel data, i.e., panel data where the individual time series have unequal …

Persistent link: https://www.econbiz.de/10010284445

Everaert, Gerdie; De Groote, Tom - In: Econometric reviews 35 (2016) 1/4, pp. 428-463

Persistent link: https://www.econbiz.de/10011550021

Econometric analysis of panel data models with multifactor error structures

Karabiyik, Hande; Palm, Franz C.; Urbain, Jean-Pierre - In: Annual review of economics 11 (2019), pp. 495-522

Persistent link: https://www.econbiz.de/10012623785

Focused information criterion and model averaging for large panels with a multifactor error structure

Yin, Shou-Yung; Liu, Chu-An; Lin, Chang-Ching - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 54-68

Persistent link: https://www.econbiz.de/10012424498