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Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables

He, Ming; Lin, Kuan-pin - In: Econometrics : open access journal 3 (2015) 4, pp. 761-796

We propose a random effects panel data model with both spatially correlated error components and spatially lagged …

Persistent link: https://www.econbiz.de/10011411712

Removing specification errors from the usual formulation of binary choice models

Swamy, Paravastu A. V. B.; Chang, I-Lok; Mehta, Jatinder S. - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the...

Persistent link: https://www.econbiz.de/10011506387

Measurement errors arising when using distances in microeconometric modelling and the individuals' position is geo-masked for confidentiality

Arbia, Giuseppa; Espa, Giuseppe; Giuliani, Diego - In: Econometrics : open access journal 3 (2015) 4, pp. 709-718

In many microeconometric models we use distances. For instance, in modelling the individual behavior in labor economics or in health studies, the distance from a relevant point of interest (such as a hospital or a workplace) is often used as a predictor in a regression framework. However, in...

Persistent link: https://www.econbiz.de/10011411576

Endogeneity, time-varying coefficients, and incorrect vs. correct ways of specifying the error terms of econometric models

Swamy, Paravastu A. V. B.; Mehta, Jatinder S.; Chang, I-Lok - In: Econometrics : open access journal 5 (2017) 1, pp. 1-17

Using the net effect of all relevant regressors omitted from a model to form its error term is incorrect because the coefficients and error term of such a model are non-unique. Non-unique coefficients cannot possess consistent estimators. Uniqueness can be achieved if; instead; one uses certain...

Persistent link: https://www.econbiz.de/10011654066

Prais-Winsten algorithm for regression with second or higher order autoregressive errors

Vougas, Dimitrios V. - In: Econometrics : open access journal 9 (2021) 3, pp. 1-6

There is no available Prais-Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and...

Persistent link: https://www.econbiz.de/10012617254

A new estimator for standard errors with few unbalanced clusters

Niccodemi, Gianmaria; Wansbeek, Tom - In: Econometrics : open access journal 10 (2022) 1, pp. 1-7

In linear regression analysis, the estimator of the variance of the estimator of the regression coefficients should take into account the clustered nature of the data, if present, since using the standard textbook formula will in that case lead to a severe downward bias in the standard errors....

Persistent link: https://www.econbiz.de/10012805054

Instrumental variable method for regularized estimation in generalized linear measurement error models

Xue, Lin; Wang, Liqun - In: Econometrics : open access journal 12 (2024) 3, pp. 1-14

Regularized regression methods have attracted much attention in the literature, mainly due to its application in high-dimensional variable selection problems. Most existing regularization methods assume that the predictors are directly observed and precisely measured. It is well known that in a...

Persistent link: https://www.econbiz.de/10015133941

Consistency in estimation and model selection of dynamic panel data models with fixed effects

Li, Guangjie - In: Econometrics : open access journal 3 (2015) 3, pp. 494-524

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …

Persistent link: https://www.econbiz.de/10011297557

A conditional approach to panel data models with common shocks

Forchini, Giovanni; Peng, Bin - In: Econometrics : open access journal 4 (2016) 1, pp. 1-12

This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data …

Persistent link: https://www.econbiz.de/10011411728

TSLS and LIML estimators in panels with unobserved shocks

Forchini, Giovanni; Jiang, Bin; Peng, Bin - In: Econometrics : open access journal 6 (2018) 2, pp. 1-12

panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …

Persistent link: https://www.econbiz.de/10011823348