Search Results - subject:"Nonlinear panel"

Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Model

Hsiao, Cheng; Pesaran, M. Hashem; Pick, Andreas - de Nederlandsche Bank - 2007

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …

Persistent link: https://www.econbiz.de/10005101822

Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - Tinbergen Institute - 2007

We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....

Persistent link: https://www.econbiz.de/10005144538

Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007

Persistent link: https://www.econbiz.de/10011372520

A LIKELIHOOD-BASED APPROXIMATE SOLUTION TO THE INCIDENTAL PARAMETER PROBLEM IN DYNAMIC NONLINEAR MODELS WITH MULTIPLE EFFECTS

Arellano, Manuel; Hahn, Jinyong - Centro de Estudios Monetarios y Financieros (CEMFI) - 2006

We discuss a modified objective function strategy to obtain estimators without bias to order 1/T in nonlinear dynamic panel models with multiple effects. Estimation proceeds from a bias corrected objective function relative to some target infeasible criterion. We consider a determinant based...

Persistent link: https://www.econbiz.de/10005827095

Investigating the stationarity of insurance premiums : international evidence

Lee, Chien-Chiang; Tsong, Ching-chuan; Yang, Shih-jui; … - In: The European journal of finance 19 (2013) 3/4, pp. 276-297

Persistent link: https://www.econbiz.de/10010243644

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli; Sandberg, Rickard - 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

Persistent link: https://www.econbiz.de/10010281305

Inference for Unit Roots in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed

He, Changli; Sandberg, Rickard - Economics Institute for Research (SIR), … - 2005

inferior or reasonable power compared to our test. JEL classi�cation: C12; C23; C52 Key words: Dynamic Nonlinear Panel; Smooth … have substantial power when in fact a nonlinear panel is considered, as well as scenarios when the traditional tests are … normal distribution. 4.2 Power simulations 4.2.1 A homogeneous nonlinear panel We examine the empirical power under a modi …

Persistent link: https://www.econbiz.de/10005649269

Spatial agglomeration and productivity in Italy: a panel smooth transition regression approach

Cainelli, Giulio; Fracasso, Andrea; Marzetti, Giuseppe … - Dipartimento di Economia e Management, Università … - 2012

The paper analyzes the impact of localization, urbanization and competition on firm-level TFP, using a large sample of Italian firm-level data from 1999 to 2007. In particular, the paper explores the nonlinearities of such effects, accounting for the possible presence of critical masses and/or...

Persistent link: https://www.econbiz.de/10010604501

Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets

Chen, Shu-Ling; Kim, Hyeongwoo - In: International Economic Journal 25 (2011) 2, pp. 239-250

This paper seeks empirical evidence of nonlinear mean-reversion in relative national stock price indices for Emerging Asian countries. It is well known that conventional linear unit root tests suffer from low power against the stationary nonlinear alternative. Implementing the nonlinear unit...

Persistent link: https://www.econbiz.de/10009223949

A Nonlinear Panel Unit Root Test under Cross Section Dependence

Cerrato, Mario; de Peretti, Christian; Larsson, Rolf; … - Scottish Institute for Research in Economics (SIRE) - 2011

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root...

Persistent link: https://www.econbiz.de/10010552403