Search Results - subject:"local-to-zero asymptotics"

Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions

Kruiniger, Hugo - 2006

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ÃÂ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from heterogenous distributions. We compare both...

Persistent link: https://www.econbiz.de/10010284089

Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions

Kruiniger, Hugo - In: Journal of Econometrics 173 (2013) 2, pp. 175-188

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions and possibly time-series heteroskedasticity even when the error components are drawn from...

Persistent link: https://www.econbiz.de/10011052276

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction

Chao, John C.; Swanson, Norman Rasmus - School of Management, Yale University - 2004

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10005587117

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

Persistent link: https://www.econbiz.de/10010271942

Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction

Chao, John; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

Persistent link: https://www.econbiz.de/10005762492

Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2006

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from heterogenous distributions. We compare both...

Persistent link: https://www.econbiz.de/10005106335

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2003

Persistent link: https://www.econbiz.de/10005750193

GMM Estimation of Dynamic Panel Data Models with Persistent Data

Kruiniger, Hugo - School of Economics and Finance, Queen Mary - 2000

both versions of the model), the Arellano-Bover estimator, and the System estimator. We employ local-to-zero asymptotics …

Persistent link: https://www.econbiz.de/10005106332