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Year of publication
Subject
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Dynamic econometrics 81 Dynamische Ökonometrie 80 Theorie 23 Theory 23 Factor analysis 11 Faktorenanalyse 11 Panel 11 Panel study 11 Estimation 10 Schätzung 10 Estimation theory 9 Maximum likelihood estimation 9 Maximum-Likelihood-Schätzung 9 Schätztheorie 9 Ökonometrie 9 Bildungsertrag 8 Bildungsverhalten 8 Discrete choice 8 Diskrete Entscheidung 8 Dynamische Wirtschaftstheorie 8 Economic dynamics 8 Educational behaviour 8 Fixed effects model 8 Fixed-Effects-Modell 8 Forecasting model 8 Method of moments 8 Momentenmethode 8 Prognoseverfahren 8 Returns to education 8 Bayes-Statistik 7 Bayesian inference 7 Macroeconometrics 7 Makroökonometrie 7 Econometrics 6 Economic forecast 6 Industrial organization 6 Industrieökonomik 6 Wirtschaftsprognose 6 Business cycle 5 Konjunktur 5
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Online availability
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Free 51 Undetermined 18 CC license 1
Type of publication
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Book / Working Paper 70 Article 12 Journal 4
Type of publication (narrower categories)
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Working Paper 36 Graue Literatur 34 Non-commercial literature 34 Arbeitspapier 33 Article in journal 10 Aufsatz in Zeitschrift 10 Lehrbuch 3 Textbook 3 Thesis 3 Collection of articles written by one author 2 Hochschulschrift 2 Sammlung 2 Advisory report 1 Aufsatz im Buch 1 Aufsatzsammlung 1 Book section 1 Case study 1 Collection of articles of several authors 1 Fallstudie 1 Gutachten 1 Mikroform 1 Sammelwerk 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 83 Polish 2 German 1
Author
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Heckman, James J. 8 Mosso, Stefano 7 Eisenhauer, Philipp 5 Berry, Steven 4 Compiani, Giovanni 4 Dijk, Herman K. van 4 Hoogerheide, Lennart 4 Koopman, Siem Jan 4 McAleer, Michael 4 Mátyás, László 4 Nymoen, Ragnar 4 Sparrman, Victoria 4 Borowska, Agnieszka 3 Caivano, Michele 3 Eisenhauer, Phillipp 3 Gillman, Max 3 Gjelsvik, Marit Linnea 3 Grassi, Stefano 3 Harvey, Andrew C. 3 Moon, Hyungsik Roger 3 Wansbeek, Tom 3 Weidner, Martin 3 Balazsi, Laszlo 2 Basturk, Nalan 2 Chang, Myong-hun 2 Elker, Johann 2 Gouriéroux, Christian 2 Hillebrand, Eric 2 Mesters, Geert 2 Monfort, Alain 2 Pestova, Anna 2 Ramachandran, Rama V. 2 Satō, Ryūzo 2 Tănase, Andrei 2 Agudze, Komula Mawulom 1 Babeckaja-Kucharcǔk, Oksana A. 1 Balasko, Yves 1 Balazsi, Lazslo 1 Balázsi, László 1 Baştürk, N. 1
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Institution
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National Bureau of Economic Research 4 Uniwersytet Mikołaja Kopernika w Toruniu / Katedra Ekonometrii i Statystyki 2 Peter Lang GmbH 1 Society for Economic Dynamics 1 Uniwersytet Ekonomiczny w Katowicach 1
Published in...
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NBER working paper series 4 CEMMAP working papers / Centre for Microdata Methods and Practice 3 Working papers / Department of Economics, Central European University 3 Discussion Papers 2 Econometric Institute research papers 2 Journal of risk and financial management : JRFM 2 NBER Working Paper 2 Occasional papers / National Bank of Romania 2 Routledge advances in experimental and computable economics 2 Working paper / National Bureau of Economic Research, Inc. 2 Advances in Japanese Business and Economics 1 Advances in Japanese business and economics 1 Advances in econometrics 1 Advances in econometrics : a research annual 1 BCAM 1 Bank of Italy Temi di Discussione (Working Paper) 1 Basic research program working papers / Series: Economics / National Research University, Higher School of Economics 1 CAMP working paper series 1 CESifo Working Paper Series 1 CESifo working papers 1 Cambridge working papers in economics 1 Cardiff economics working papers 1 Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP 1 DIW Berlin: Politikberatung kompakt 1 Discussion paper / Tinbergen Institute 1 Discussion paper series / IZA 1 Diskussionsbeiträge / Fachbereich Wirtschaftswissenschaft, FernUniversität in Hagen : Diskussionspapier 1 Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Fernuniversität Hagen 1 ECON PhD dissertations 1 ESA working paper 1 Econometric theory 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Economic issues, problems and perspectives 1 Economic policy papers 1 Emerald insight 1 Energy policy : the international journal of the political, economic, planning, environmental and social aspects of energy 1 Handbook of microsimulation modelling 1 Higher School of Economics Research Paper 1 IZA Discussion Paper 1 International economic review 1
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Source
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ECONIS (ZBW) 82 EconStor 3 BASE 1
Showing 1 - 50 of 86
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Dynamic Econometrics : Models and Applications
Bismans, Francis; Damette, Olivier - 2025
1. General Introduction -- 2. Dynamics in Econometrics -- 3. Estimating the Model -- 4. Testing the Model -- 5. Non-Stationarity and Cointegration -- 6. Specifying the ARDL Model -- 7. Vector Autoregressions -- 8. Panel Data Models -- 9. Non-Stationary Panels -- 10. The Binary Qualitative Model.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015206755
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Maximum likelihood estimation of dynamic factor models using general cross sectional covariance
Spencer, Tom - 2024
The existing literature on large dynamic factor models invariably assumes that the cross sectional covariance matrix is diagonal. This is due to the curse of dimensionality which means that many parameters need to be estimated for large data sets. This paper introduces a novel maximum likelihood...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374738
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An Instrumental Variable Approach to Dynamic Models
Berry, Steven; Compiani, Giovanni - 2023
We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014346917
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Spatial-temporal dynamics of structural unemployment in declining coal mining regions and potentialities of the "just transition"
Mark, Ebba; Rafaty, Ryan; Schwarz, Moritz - In: Energy policy : the international journal of the … 195 (2024), pp. 1-11
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Partial-implementation invariance and claims problems
Dietzenbacher, Bas; Tamura, Yuki; Thomson, William - In: Social choice and welfare 63 (2024) 1, pp. 203-229
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Dynamic Targeting : Experimental Evidence from Energy Rebate Programs
Ida, Takanori; Ishihara, Takunori; Ito, Koichiro; Kido, … - National Bureau of Economic Research - 2024
Economic policies often involve dynamic interventions, where individuals receive repeated interventions over multiple periods. This dynamics makes past responses informative to predict future responses and ultimate outcomes depend on the history of interventions. Despite these phenomena,...
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Einkommenswirkung und fiskalische Kosten der grünen Garantierente : Endbericht : Forschungsprojekt im Auftrag der Bundestagsfraktion Bündnis 90/Die Grünen
Geyer, Johannes; Buslei, Hermann - 2021
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A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems
Cai, Yongyang; Judd, Kenneth L. - National Bureau of Economic Research - 2021
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic...
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An introduction to economic dynamics : modelling, analysis and simulation
Raghavendra, Srinivas; Piiroinen, Petri T. - 2023
"An Introduction to Economic Dynamics provides a framework for students to appreciate and understand the basic intuition behind economic models and to experiment with those models using simulation techniques in MATLAB. This book goes beyond the often-limited scope of other texts on economic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014471252
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An Instrumental Variable Approach to Dynamic Models
Berry, Steven - 2020
We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012826382
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An instrumental variable approach to dynamic models
Berry, Steven; Compiani, Giovanni - 2020
We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012312899
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Equilibrium indeterminacy and extreme outcomes : a fat sunspot ta(i)l(e)
Dave, Chetan; Sorge, Marco M. - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012248976
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An Instrumental Variable Approach to Dynamic Models
Berry, Steven - 2020
We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012481304
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What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael - 2019
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What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the dynamic conditional correlation (DCC) model
McAleer, Michael - 2019
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Sensitivity analysis for dynamic microsimulation models
Burgard, Jan Pablo; Schmaus, Simon - 2019
Microsimulations usually contain various transition processes such as births and deaths, relocations, and change in household characteristics. The estimation, organisation, and implementation of these processes can have a substantial impact on the simulation outcomes. We propose to evaluate a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012109910
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7
Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012022157
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9
In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012022209
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Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies
Basturk, Nalan - 2018
A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry returns. The nonlinear state space representation of the model allows...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012909578
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Forecast density combinations of dynamic models and data driven portfolio strategies
Baştürk, Nalan; Borowska, Agnieszka; Grassi, Stefano; … - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011916058
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Forecast density combinations of dynamic models and data driven portfolio strategies
Basturk, Nalan; Borowska, Agnieszka; Grassi, Stefano; … - 2018
A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry returns. The nonlinear state space representation of the model allows...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011916443
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Markov switching panel with network interaction effects
Agudze, Komula Mawulom; Billio, Monica; Casarin, Roberto; … - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011798826
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Estimating dynamic panel models : backing out the Nickell Bias
Hausman, Jerry A.; Pinkovskiy, Maxim L. - 2017
We propose a new estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. The estimator does well in a wide variety of situations...
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Essays on forecasting with linear state-space systems
Boldrini, Lorenzo - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011527390
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Nowcasting the Czech trade balance
Babeckaja-Kucharcǔk, Oksana A.; Brůha, Jan - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011778720
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A dynamic analysis of resilience in Uganda
D'Errico, Marco; Di Giuseppe, Stefania - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011552582
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Estimating a real-time business conditions indicator for Romania
Smǎdu, Andra; Stanciu, Irina; Tănase, Andrei - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011555047
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Dynamic econometrics for empirical macroeconomic modelling
Nymoen, Ragnar - 2020
"In this textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models....
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Dynamic optics in economics : quantitative, experimental and econometric analyses
Kırer Silva Lecuna, Hale (ed.) - 2020
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Have inflation targeting and EU labour immigration changed the system of wage formation in Norway?
Gjelsvik, Marit Linnea; Sparrman, Victoria; Nymoen, Ragnar - 2015
Collective agreements have played a central role in the system of wage formation in Norway for more than fifty years. Although the degree of coordination achieved has been variable, pattern wage bargaining has been a mainstay of the system. We investigate the degree of invariance in wage...
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Labor Market Institutions and Wage Inequality in the OECD countries
Sparrman, Victoria; Rossvoll, Ellen Marie - 2015
In this paper we attempt to investigate the effect on income inequality of some recent trends in the labour market, changes in regulations of temporary positions and the surge in immigration in many EU-countries. The empirical results show that less strict regulations of temporary positions and...
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Have inflation targeting and EU labour immigration changed the system of wage formation in Norway?
Gjelsvik, Marit Linnea; Nymoen, Ragnar; Sparrman, Victoria - 2015
Collective agreements have played a central role in the system of wage formation in Norway for more than fifty years. Although the degree of coordination achieved has been variable, pattern wage bargaining has been a mainstay of the system. We investigate the degree of invariance in wage...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011557203
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Leading Indicators of the Business Cycle : Dynamic Logit Models for OECD Countries and Russia
Pestova, Anna - 2015
In this paper, I develop the leading indicators of the business cycle turning points exploiting the quarterly panel dataset comprising OECD countries and Russia over the 1980-2013 period. Contrasting to the previous studies, I combine data on OECD countries and Russia into a single dataset and...
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The estimation of multi-dimensional fixed effects panel data models
Balazsi, Laszlo; Mátyás, László; Wansbeek, Tom - 2015
The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010492323
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Estimation and forecast of GDP and GDP components with the dynamic factor model : application for Romania
Tănase, Andrei - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011280867
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Have inflation targeting and EU labour immigration changed the system of wage formation in Norway?
Gjelsvik, Marit Linnea; Nymoen, Ragnar; Sparrman, Victoria - 2015 - This version October 2015
Collective agreements have played a central role in the system of wage formation in Norway for more than fifty years. Although the degree of coordination achieved has been variable, pattern wage bargaining has been a mainstay of the system. We investigate the degree of invariance in wage...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011373319
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Leading indicators of the business cycle : dynamic logit models for OECD countries and Russia
Pestova, Anna - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011291456
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The Estimation of Multi-Dimensional Fixed Effects Panel Data Models
Balazsi, Laszlo - 2015
The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013024591
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Dynamic Linear Panel Regression Models with Interactive Fixed Effects
Moon, Hyungsik Roger - 2015
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, e.g. lagged-dependent variables. The first order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross sectional...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013030889
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Forecast density combinations of dynamic models and data driven portfolio strategies
Baştürk, N.; Borowska, A.; Grassi, S.; Hoogerheide, … - In: Journal of econometrics 210 (2019) 1, pp. 170-186
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Two EGARCH Models and One Fat Tail
Caivano, Michele - 2014
We compare two EGARCH models, which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013051366
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Empirical Bayes Methods for Dynamic Factor Models
Koopman, Siem Jan - 2014
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013053560
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Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments
Eisenhauer, Philipp; Heckman, James J.; Mosso, Stefano - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010418037
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Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments
Eisenhauer, Philipp; Heckman, James J. - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010424834
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew C. - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010495720
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Dynamic linear panel regression models with interactive fixed effects
Moon, Hyungsik Roger; Weidner, Martin - 2014
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, e.g. lagged-dependent variables. The first order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross sectional...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010458628
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Forecasting Cyprus GDP and its demand components : applications of dynamic factor models
Papamichael, Christos; Pashourtidou, Nicoletta - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011285588
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The estimation of multi-dimensional fixed effects panel data models
Balázsi, László; Mátyás, László; Wansbeek, Tom - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011623305
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Phillipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012458043
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Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments
Eisenhauer, Philipp - 2014
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013044661
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