Showing 1 - 10 of 101
The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002 … unified asymptotic distribution result of the properly recentered OLS estimator and proposes a new estimator that is based on …
Persistent link: https://www.econbiz.de/10012696297
This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...
Persistent link: https://www.econbiz.de/10011755347
Nonlinear filtering techniques and the quasi maximum likelihood estimator (QMLE) are applied to the problem of estimating the parameters of quadratic models for the term structure of interest rates. It is assumed that zero coupon bond yields data have been contaminated by noise, which allows the...
Persistent link: https://www.econbiz.de/10005119216
This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized...
Persistent link: https://www.econbiz.de/10012696222
based on ordinary least-squares (OLS) and generalized least-squares (GLS) model-averaging estimators. To select optimal …
Persistent link: https://www.econbiz.de/10012696253
We consider mean-reverting stochastic processes and build a self- consistent model for forward price dynamics and their applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations of stochastic differential geometry in order...
Persistent link: https://www.econbiz.de/10005124894
This paper provides a new statistical model for repeated voluntary contribution mechanism games. In a repeated public goods experiment, contributions in the first round are cross-sectionally independent simply because subjects are randomly selected. Meanwhile, contributions to a public account...
Persistent link: https://www.econbiz.de/10011995235
The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the n(n..1) interaction effects in a spatial autoregressive panel model where the spatial dimension...
Persistent link: https://www.econbiz.de/10011755274
In this paper a Cobb-Douglas utility function is introduced and solved for a dynamic equation of property crime supply and its determinants, namely deterrents and income. Thereafter, all variables are empirically tested, by means of a simultaneous equations model, for the sign and magnitude of...
Persistent link: https://www.econbiz.de/10005407878
Many production processes yield both good outputs and undesirable ones (e.g. pollutants). In this paper, we develop a generalization of a stochastic frontier model which is appropriate for such technologies. We discuss efficiency analysis and, in particular, define technical and environmental...
Persistent link: https://www.econbiz.de/10005407943