Similar Search Results

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

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

Threshold regression with endogeneity for short panels

Gørgens, Tue; Würtz, Allan H. - In: Econometrics : open access journal 7 (2019) 2/23, pp. 1-8

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …

Persistent link: https://www.econbiz.de/10012025781

Estimating linear dynamic panels with recentered moments

Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...

Persistent link: https://www.econbiz.de/10014636394

Maximum likelihood estimation of the I(2) model under linear restrictions

Doornik, Jurgen A. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-20

Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...

Persistent link: https://www.econbiz.de/10011654460

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...

Persistent link: https://www.econbiz.de/10015408198

Estimation of realized asymmetric stochastic volatility models using Kalman filter

Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...

Persistent link: https://www.econbiz.de/10014425668

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011297624

Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...

Persistent link: https://www.econbiz.de/10011410634

Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011781891