Showing 1 - 10 of 53
We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter θ, whereas the distribution of unit-specific...
Persistent link: https://www.econbiz.de/10013489540
A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is zero. Such first-order orthogonalization may, however,...
Persistent link: https://www.econbiz.de/10015191457
Implementation of broad approaches to welfare analysis usually entails the use of 'subjective' welfare indicators. We analyse BHPS data on financial wellbeing to determine whether reported current and retrospective perceptions are consistent with each other and with the existence of a common...
Persistent link: https://www.econbiz.de/10003989964
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10009127271
This paper provides a comprehensive econometric framework for the empirical analysis of countervailing power. It encompasses the two main features of pricing schemes in business-to-business relationships: nonlinear price schedules and bargaining over rents. Disentangling them is critical to the...
Persistent link: https://www.econbiz.de/10009354735
We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...
Persistent link: https://www.econbiz.de/10009784711
Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental parameter problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time effects. Under asymptotic sequences where the...
Persistent link: https://www.econbiz.de/10010209259
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...
Persistent link: https://www.econbiz.de/10009667984
In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data we establish the limiting...
Persistent link: https://www.econbiz.de/10010392909
Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental parameter problem. We develop analytical and jackknife bias corrections for nonlinear models with both individual and time effects. Under asymptotic sequences where the...
Persistent link: https://www.econbiz.de/10010382120