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OLS with Multiple High Dimensional Category Dummies

Gaure, Simen - Økonomisk institutt, Universitetet i Oslo - 2011

We present some theoretical results which simplifies the estimation of linear models with multiple high-dimensional fixed effects. In particular, we show how to sweep out multiple fixed effects from the normal equations, in analogy with the common within-groups estimator

Persistent link: https://www.econbiz.de/10008776041

OLS with multiple high dimensional category dummies

Gaure, Simen - 2010 - Publisert 6. okt. 2010

common within-groups estimator. -- Method of Alternating Projections ; Multiple Fixed Effects ; OLS …

Persistent link: https://www.econbiz.de/10008664502

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002 … unified asymptotic distribution result of the properly recentered OLS estimator and proposes a new estimator that is based on …

Persistent link: https://www.econbiz.de/10012295878

Dissecting Anomalies in Conditional Asset Pricing

Raponi, Valentina; Zaffaroni, Paolo - 2023

We develop a methodology for estimating and testing the effect of anomalies in conditional asset pricing models when premia are time-varying. Our method, which builds on the two-pass methodology, is developed for ordinary and weighted least-squares estimation, considering both cases of correct...

Persistent link: https://www.econbiz.de/10014348784

Least Squares Estimation of Large Dimensional Threshold Factor Models

Massacci, Daniele - 2017

This paper studies large dimensional factor models with threshold-type regime shifts in the loadings. We estimate the threshold by concentrated least squares, and factors and loadings by principal components. The estimator for the threshold is super consistent, with convergence rate that depends...

Persistent link: https://www.econbiz.de/10012971327

What does OLS identify under the zero conditional mean assumption?

Crudu, Federico; Mellace, Giovanni; Smits, Joeri - 2022

Persistent link: https://www.econbiz.de/10013327202

A time-space dynamic panel data model with spatial moving average errors

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the...

Persistent link: https://www.econbiz.de/10011872320

Corporate governance characteristics and valuation : inferences from quantile regression

Shawtari, Fekri; Milad Abdelnabi Salem; Hafezali Iqbal … - In: Journal of economics, finance & administrative science 21 (2016) 41, pp. 81-88

governance measures on performance indicators. However, most of literatures adopt the Ordinary Least Square (OLS). This method is … firms in the upper or lower bounds. Thus, estimating the means using OLS may not reflect and represent the heterogeneity in … corporate governance and performance using OLS. Second, this work further explores the impact of corporate governance mechanisms …

Persistent link: https://www.econbiz.de/10011875189

Systematic risk assesment using OLS method : the case of the capital market of Bosnia and Herzegovina

Zaimović, Azra - In: Economic review : journal of economics & business 10 (2012) 1, pp. 13-23

domestic stocks are efficient and whether they could be used in portfolio management. The paper employs the OLS method to …

Persistent link: https://www.econbiz.de/10012010546

A combination method for averaging OLS and GLS estimators

Liu, Qingfeng; Vasnev, Andrey L. - In: Econometrics : open access journal 7 (2019) 3/38, pp. 1-12

based on ordinary least-squares (OLS) and generalized least-squares (GLS) model-averaging estimators. To select optimal …

Persistent link: https://www.econbiz.de/10012160820