Search Results - subject:"Dynamic Model"

Practical aspects of using quadratic moment conditions in linear dynamic panel data models

Pua, Andrew Adrian Yu; Fritsch, Markus; Schnurbus, Joachim - 2019

We study the estimation of the lag parameter of linear dynamic panel data models with first order dynamics based on the quadratic Ahn and Schmidt (1995) moment conditions. Our contribution is twofold: First, we show that extending the standard assumptions by mean stationarity and time series...

Persistent link: https://www.econbiz.de/10012104782

Pdynmc - an R-package for estimating linear dynamic panel data models based on linear and nonlinear moment conditions

Fritsch, Markus; Pua, Andrew Adrian Yu; Schnurbus, Joachim - 2019

pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear moment conditions as proposed by Anderson and Hsiao (1982), Holtz-Eakin, Newey, and Rosen (1988), Arellano and Bover (1995), and Ahn and Schmidt (1995). This paper describes the...

Persistent link: https://www.econbiz.de/10012104784

Simple methods for consistent estimation of dynamic panel data sample selection models

Sadoon, Majid M. al-; Jiménez-Martín, Sergi; Labeaga, … - 2019

Persistent link: https://www.econbiz.de/10011979643

Forecasting with the Standardized Self-Perturbed Kalman Filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014

increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S&P 500 …

Persistent link: https://www.econbiz.de/10010456954

Forecasting with the Standardized Self-Perturbed Kalman Filter

Grassi, Stefano; Nonejad, Nima; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2014

increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S&P500 …

Persistent link: https://www.econbiz.de/10010851262

Forecasting with the standardized self-perturbed kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014

Persistent link: https://www.econbiz.de/10010339076

Forecasting with the standardized self-perturbed Kalman filter

Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo - 2014

increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S & P 500 …

Persistent link: https://www.econbiz.de/10010402289

Forgetting approaches to improve forecasting

Hill, Robert A.; Rodrigues, Paulo M. M. - In: Journal of forecasting 41 (2022) 7, pp. 1356-1371

Persistent link: https://www.econbiz.de/10013465699

Selection and educational attainment : why some children are left behind? : evidence from a middle-income country

Méndez-Errico, Luciana; Ramos Morilla, Xavier - In: Education economics 30 (2022) 6, pp. 624-643

Persistent link: https://www.econbiz.de/10013492928

Do idiosyncratic technology shocks induce peer effects?

Karpavičius, Sigitas; Yu, Fan - In: The journal of corporate finance : contracting, … 77 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013494301