Search Results - subject:"Generalized Method of Moments."

Projection Estimators for Autoregressive Panel Data Models

Bond, Stephen; Windmeijer, Frank - 2003

In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the unobserved individual effects on the vector of observations on the lagged dependent variable. This approach yields estimators which coincide with known generalised method of...

Persistent link: https://www.econbiz.de/10014123931

GMM estimation of the covariance structure of longitudinal data on earnings

Doris, Aedın; Donal O’Neill; Sweetman, Olive - In: Stata Journal 11 (2011) 3, pp. 439-459

In this article, we discuss generalized method of moments estimation of the covariance structure of longitudinal data … method of moments approach in this context. The program, gmmcovearn, estimates a variety of models that encompass those most … on earnings, and we introduce and illustrate a Stata program that facilitates the implementation of the generalized …

Persistent link: https://www.econbiz.de/10011002422

What Can We Learn from a Cross-Section of Returns? An Investigation of Idiosyncratic Volatility Range

Khovansky, Serguey; Zhylyevskyy, Oleksandr - Department of Economics, Iowa State University - 2011

We investigate empirical properties of idiosyncratic volatility using cross-sections of stock returns in the standard framework of geometric Brownian motion price dynamics. Knowledge of the sign and magnitude of idiosyncratic volatility characteristics may help us better understand the role of...

Persistent link: https://www.econbiz.de/10009643014

Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known

Tripathi, Gautam - In: Journal of Econometrics 165 (2011) 2, pp. 258-265

We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected …

Persistent link: https://www.econbiz.de/10010574067

Moment-based estimation of smooth transition regression models with endogenous variables

Areosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of Econometrics 165 (2011) 1, pp. 100-111

Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, smooth transition regression (STR) models have been shown to be very useful for...

Persistent link: https://www.econbiz.de/10010574101

Australia’s equity home bias and real exchange rate volatility

Mishra, Anil - In: Review of Quantitative Finance and Accounting 37 (2011) 2, pp. 223-244

Persistent link: https://www.econbiz.de/10009326701

Cross-sectional GMM estimation under a common data shock

Zhylyevskyy, Oleksandr; Khovansky, Serguey - Department of Economics, Iowa State University - 2011

A GMM estimation approach is developed for a stylized cross-sectional model with a non-localized common data shock. Common shocks are often encountered in economics and finance. Thus, their implications for estimation are of substantial interest. Other researchers investigated properties of OLS...

Persistent link: https://www.econbiz.de/10010635583

The incidence of local labor demand shocks

Notowidigdo, Matthew J. - 2011

Persistent link: https://www.econbiz.de/10009231683

Human capital and state-level economic growth : what is the contribution of schooling?

Yamarik, Steven - In: The annals of regional science : an international … 47 (2011) 1, pp. 195-211

In this paper, we set out to quantify the magnitude of the positive empirical relationship between schooling and regional growth. We apply the growth empirics method of Mankiw et al. (Q J Econ 107:407438, 1992) to a panel of US states. We improve upon the existing regional growth literature by...

Persistent link: https://www.econbiz.de/10009235116

Efficient estimation of moment condition models with heterogeneous populations

Xiao, Zhiguo - In: Annals of economics and finance 12 (2011) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10009235561