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Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

Persistent link: https://www.econbiz.de/10003355571

Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003360302

Panels with Nonstationary Multifactor Error Structures

Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - 2021

Persistent link: https://www.econbiz.de/10013317495

Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave

Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - 2014

outcomes directly. In this paper we propose two alternative Bayesian treatment modeling and inferential frameworks for panel … to the labor market. The frameworks differ in their modeling of the endogeneity of the treatment and the panel structure …

Persistent link: https://www.econbiz.de/10011346040

Quantifying noise in survey expectations

Juodis, Artūras; Kucinskas, Simas - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 609-650

Expectations affect economic decisions, and inaccurate expectations are costly. Expectations can be wrong due to either bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in survey expectations. The method is based on the...

Persistent link: https://www.econbiz.de/10014308585

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors

Čížek, Pavel; Jacobs, Jan; Ligthart, Jenny E.; … - 2015

spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one …-period lag of the dependent variable as additional explanatory variables. Combining this approach with the dynamic panel-data GMM …, spatial lags, and sets of exogenous variables yields new spatial dynamic panel data estimators. The proposed spatially …

Persistent link: https://www.econbiz.de/10014175015

Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors

Jacobs, Jan; Ligthart, Jenny E.; Vrijburg, Hendrik - 2009

corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the … the dynamic panel data model GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) and supplementing the … dynamic panel data estimators. The performance of these spatial dynamic panel data estimators is investigated by means of …

Persistent link: https://www.econbiz.de/10014200234

GMM estimation of fixed effects dynamic panel data models with spatial lag and spatial errors

Čížek, Pavel; Jacobs, Jan; Ligthart, Jenny E.; … - 2011

Persistent link: https://www.econbiz.de/10009389616

Persistence, signal-noise pattern and heterogeneity in panel data : with an application to the impact of foreign direct investment on GDP

Biørn, Erik; Han, Xuehui - 2015 - This version January 2015

GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is … country panel data supplements the simulation results. …

Persistent link: https://www.econbiz.de/10010479979