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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

Factor Sreening For Simulation With Multiple Responses : Sequential Bifurcation

Kleijnen, Jack P.C.; Shi, W.; Liu, Zhixue - Tilburg University, Center for Economic Research - 2013

Abstract: Factor screening searches for the really important inputs (factors) among the many inputs that are changed in a realistic simulation experiment. Sequential bifurcation (SB) is a sequential method that changes groups of inputs simultaneously. SB is the most efficient and effective...

Persistent link: https://www.econbiz.de/10011090433

Optimization of Simulated Inventory Systems : OptQuest and Alternatives

Kleijnen, Jack P.C.; Wan, J. - Tilburg University, Center for Economic Research - 2006

This article illustrates simulation optimization through an (s, S) inventory management system.In this system, the goal function to be minimized is the expected value of specific inventory costs.Moreover, specific constraints must be satisfied for some random simulation responses, namely the...

Persistent link: https://www.econbiz.de/10011090482

White Noise Assumptions Revisited : Regression Models and Statistical Designs for Simulation Practice

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2006

Classic linear regression models and their concomitant statistical designs assume a univariate response and white noise.By definition, white noise is normally, independently, and identically distributed with zero mean.This survey tries to answer the following questions: (i) How realistic are...

Persistent link: https://www.econbiz.de/10011090588

Statistical Testing of Optimality Conditions in Multiresponse Simulation-Based Optimization (Replaced by Discussion Paper 2007-45)

Kleijnen, Jack P.C.; Bettonvil, B.W.M.; Del Castillo, E. - Tilburg University, Center for Economic Research - 2005

This paper derives a novel procedure for testing the Karush-Kuhn-Tucker (KKT) first-order optimality conditions in models with multiple random responses.Such models arise in simulation-based optimization with multivariate outputs.This paper focuses on expensive simulations, which have small...

Persistent link: https://www.econbiz.de/10011090910

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