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GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)

Cizek, Pavel; Jacobs, J.P.A.M.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2011

spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent … variable as additional explanatory variables. Combining the extended Kapoor et al. (2007) approach with the dynamic panel data … time lags, spatial lags, and sets of exogenous variables yields new spatial dynamic panel data estimators. We prove their …

Persistent link: https://www.econbiz.de/10011124438

Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors

Jacobs, J.P.A.M.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2009

corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the … the dynamic panel data model GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) and supplementing the … dynamic panel data estimators. The performance of these spatial dynamic panel data estimators is in- vestigated by means of …

Persistent link: https://www.econbiz.de/10011090432

GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134)

Cizek, Pavel; Jacobs, J.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2015

spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one …-period lag of the dependent variable as additional explanatory variables. Combining this approach with the dynamic panel-data GMM …, spatial lags, and sets of exogenous variables yields new spatial dynamic panel data estimators. The proposed spatially …

Persistent link: https://www.econbiz.de/10011144455

Econometric Modelling in Blockholder Systems of Corporate Governance

Manjon, M.C. - Tilburg University, Center for Economic Research - 2004

Persistent link: https://www.econbiz.de/10011090535

The Endogeneity Bias in the Relation Between Cost-of-Debt Capital and Corporate Disclosure Policy

Nikolaev, V.; van Lent, L.A.G.M. - Tilburg University, Center for Economic Research - 2005

and disclosure and using fixed effects estimation in a panel dataset reduces the endogeneity bias and produces consistent …The purpose of this paper is twofold.First, we provide a discussion of the problems associated with endogeneity in … empirical accounting research.We emphasize problems arising when endogeneity is caused by (1) unobservable firm specific factors …

Persistent link: https://www.econbiz.de/10011092860

Estimating Dynamic Models from Repeated Cross-Sections

Verbeek, M.J.C.M.; Vella, F. - Tilburg University, Center for Economic Research - 2000

A major attraction of panel data is the ability to estimate dynamic models on an individual level. Moffitt (1993) and …

Persistent link: https://www.econbiz.de/10011090312

Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems

Li, Yushu - School of Economics and Management, University of Aarhus - 2011

Detection turning points in unimodel has various applications to time series which have cyclic periods. Related techniques are widely explored in the field of statistical surveillance, that is, on-line turning point detection procedures. This paper will first present a power controlled turning...

Persistent link: https://www.econbiz.de/10009293966

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...

Persistent link: https://www.econbiz.de/10010851203

Simulation of multivariate diffusion bridges

Bladt, Mogens; Finch, Samuel; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2014

We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling methods, the new approach generalizes a previously...

Persistent link: https://www.econbiz.de/10010851217

Fractional cointegration rank estimation

Lasak, Katarzyna; Velasco, Carlos - School of Economics and Management, University of Aarhus - 2013

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The fi?rst step consists in estimating the...

Persistent link: https://www.econbiz.de/10010851231

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