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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Institute - 2009

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. …

Persistent link: https://www.econbiz.de/10008531426

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Institute - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10008513245

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999

This paper introduces a representation of an integrated vector time series in which the coefficient of multiple correlation computed from the long-run covariance matrix of the innovation sequences is a primitive parameter of the model. Based on this representation, a notion of near cointegration...

Persistent link: https://www.econbiz.de/10005137044

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Tinbergen Institute - 2003

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

Persistent link: https://www.econbiz.de/10005137340

Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic

Kleibergen, Frank - Tinbergen Institute - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv- otal statistics. One statistic is a score statistic that tests location and the other statistic tests misspecification. The chi-squared distribution of the location statistic has a degrees of freedom parameter that...

Persistent link: https://www.econbiz.de/10005137350

The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models

Bun, Maurice J.G.; Kiviet, Jan F. - Tinbergen Institute - 2002

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel …

Persistent link: https://www.econbiz.de/10005136967

On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

Bun, Maurice J.G.; Kiviet, Jan F. - Tinbergen Institute - 2002

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be...

Persistent link: https://www.econbiz.de/10005136972

Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - Tinbergen Institute - 2005

dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …

Persistent link: https://www.econbiz.de/10005137190

Consumer Search and Oligopolistic Pricing: An Empirical Investigation

Janssen, Maarten C.W.; Moraga-González, José Luis; … - Tinbergen Institute - 2004

This paper presents an empirical examination of oligopoly pricing and consumer search. The theoretical model allows for sequential and non-sequential search and using the theoretical restrictions firm and consumer behavior impose on the data we study the empirical validity of the models. Two...

Persistent link: https://www.econbiz.de/10005137296

Correcting for Primary Study Misspecifications in Meta-Analysis

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Institute - 2005

Misspecifications and differences in operational definitions of elasticities in primary studies carry over to meta-analysis results. We show that the current practice of accounting for such primary study aber-rations in a meta-analysis by means of dummy variables goes a long way in mitigating...

Persistent link: https://www.econbiz.de/10005036250

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