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Judging contending estimators by simulation : tournaments in dynamic panel data models

Kiviet, J. F. - 2005

their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their … background we criticize aspects of many simulation studies that have been used in the past to compare competing estimators for … dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a …

Persistent link: https://www.econbiz.de/10011348362

How to implement the bootstrap in static or stable dynamic regression models

Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

Persistent link: https://www.econbiz.de/10011325661

Time-varying effects of housing attributes and economic environment on housing price

Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; … - 2023

We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external...

Persistent link: https://www.econbiz.de/10014313698

Correcting for primary study misspecifications in meta-analysis

Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2005

In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...

Persistent link: https://www.econbiz.de/10011343283

On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Panel Data model. We discuss issues involved when drawing Bayesian inference on regression parameters and variance …

Persistent link: https://www.econbiz.de/10011349180

Possibly ill-behaved posteriors in econometric models

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …

Persistent link: https://www.econbiz.de/10011374406

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Nonparametric tests for serial independence based on quadratic forms

Diks, Cees G. H.; Panchenko, Valentyn - 2005

Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...

Persistent link: https://www.econbiz.de/10011346484

Some exact tests for manifest properties of latent trait models

Gooijer, Jan G. de; Yuan, Ao - 2010 - Version 23 April 2010

Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...

Persistent link: https://www.econbiz.de/10011380175

Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007

We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed …

Persistent link: https://www.econbiz.de/10011372520