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Ronning, Gerd; Schneeweiß, Hans - 2009

The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional …. -- Panel regression ; multiplicative measurement errors ; bias correction ; asymptotic variance ; disclosure control …

Persistent link: https://www.econbiz.de/10003824983

Factor strengths, pricing errors, and estimation of risk premia

Pesaran, M. Hashem; Smith, Ron - 2021

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...

Persistent link: https://www.econbiz.de/10012486668

Consistent estimation of linear panel data models with measurement error

Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom - 2015

Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context …

Persistent link: https://www.econbiz.de/10010472669

Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003364871

Testing weak cross-sectional dependence in large panels

Pesaran, M. Hashem - 2012

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

Persistent link: https://www.econbiz.de/10009533962

Quantifying qualitative survey data with panel data structure

Botsis, Alexandros; Görtz, Christoph; Sakellarēs, … - 2024

balance sheets. The method can be applied to a wide range of panel datasets, including qualitative surveys on firm …-level forecasts or household expectations. As an application, we employ a panel of Greek manufacturing firms and quantify firms …

Persistent link: https://www.econbiz.de/10014502459

Clustering standard errors at the "session" level

Kim, Duk Gyoo - 2020

Session-specific features of a laboratory experiment, if those exist, do not disappear by clustering standard errors at the session level. Randomly ordering sessions, which is crucial to deal with sampling issues, cannot justify clustering the standard errors at the session level. The...

Persistent link: https://www.econbiz.de/10012234515

Multicollinearity in the presence of errors-in-variables : can increase the probability of Type-I error

Komlos, John - 2019

Multicollinearity, especially in combination with errors-in-variables, can increase the likelihood of a Type-I error by inflating the value of the estimated coefficients by more than it magnifies their standard errors, thereby increasing the likelihood of obtaining statistically significant...

Persistent link: https://www.econbiz.de/10011962261

Inference for regression with variables generated from unstructured data

Battaglia, Laura; Christensen, Tim; Hansen, Stephen; … - 2024

The leading strategy for analyzing unstructured data uses two steps. First, latent variables of economic interest are estimated with an upstream information retrieval model. Second, the estimates are treated as “data” in a downstream econometric model. We establish theoretical arguments for...

Persistent link: https://www.econbiz.de/10014533797

Estimation and inference in large heterogeneous panels with a multifactor error structure

Pesaran, M. Hashem (contributor) - 2004

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …

Persistent link: https://www.econbiz.de/10002521670