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Sequential Estimation of Structural Models with a Fixed Point Constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - CESifo - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10005416516

Sequential Estimation of Structural Models with a Fixed Point Constraint

Kasahara, Hiroyuki - 2008

Persistent link: https://www.econbiz.de/10012768155

Spurious Weather Effects

Lind, Jo Thori - 2015

on electoral turnout in Norway. Using precipitation on non-election days, I show that the distribution of parameter … estimates is far away from the theoretical distribution. To solve the problem, I suggest controlling for spatial and spatio …

Persistent link: https://www.econbiz.de/10013021697

Leveraged Bubbles

Jordà, Òscar - 2015

What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 countries over the past 140 years. History shows that not all bubbles are alike. Some have enormous costs for the economy, while others blow over. We demonstrate that what makes...

Persistent link: https://www.econbiz.de/10013014986

Bank Competition, Asset Allocations and Risk of Failure : An Empirical Investigation

Boyd, John H. - 2010

risk and asset allocations. Recent work (Boyd, De Nicolò and Jalal, 2009, BDNJ henceforth) predicts that as competition in … of competition. We also find that as competition intensifies, borrower risk decreases and the loan-to-asset ratio …This study is an empirical investigation of theoretical predictions concerning the impact of bank competition on bank …

Persistent link: https://www.econbiz.de/10013137391

Failure of Ad Valorem and Specific Tax Equivalence Under Uncertainty

Goerke, Laszlo - 2012

Applying a framework of perfect competition under uncertainty, we contribute to the discussion of whether or not ad … pathwise. Since we obtain this result under perfect competition, our analysis also provides a further rationale for why the … equivalence must fail under imperfect competition …

Persistent link: https://www.econbiz.de/10013100011

Estimation of Higher-Order Spatial Autoregressive Panel Data Error Component Models

Badinger, Harald; Egger, Peter - CESifo - 2009

consistency of the proposed estimators, derive their joint asymptotic distribution, and provide Monte Carlo evidence on their …

Persistent link: https://www.econbiz.de/10005405754

Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity

Kiviet, Jan Frederik; Feng, Qu - CESifo - 2014

While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most effective instruments when these are obtained directly from unconditional rather than conditional moment assumptions. For instance, standard GMM counteracts that exogenous...

Persistent link: https://www.econbiz.de/10011086451

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015

The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...

Persistent link: https://www.econbiz.de/10011124891

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...

Persistent link: https://www.econbiz.de/10010779414