Similar Search Results

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

Hayakawa, Kazuhiko - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

Persistent link: https://www.econbiz.de/10013105008

Testing Weak Cross-Sectional Dependence in Large Panels

Pesaran, M. Hashem - 2012

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

Persistent link: https://www.econbiz.de/10013108232

Panels with Nonstationary Multifactor Error Structures

Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - 2021

cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …

Persistent link: https://www.econbiz.de/10013317495

Purchasing Power Parity for Developing and Developed Countries : What can we Learn from Non-Stationary Panel Data Models?

Drine, Imed; Rault, Christophe - 2021

The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004 …

Persistent link: https://www.econbiz.de/10013316947

Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models

Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2021

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...

Persistent link: https://www.econbiz.de/10013315158

A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables

Keane, Michael P. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed quot;initial conditions problem,quot; as well...

Persistent link: https://www.econbiz.de/10012764470

Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators

Stewart, Mark B. - 2007

This paper presents a convenient shortcut method for implementing the Heckman estimator of the dynamic random effects probit model using standard software. It then compares the three estimators proposed by Heckman, Orme and Wooldridge based on three alternative approximations, first in an...

Persistent link: https://www.econbiz.de/10012775847

Synthetic Difference-in-Differences Estimation

Clarke, Damian; Pailañir, Daniel; Athey, Susan; … - 2023

In this paper, we describe a computational implementation of the Synthetic difference-in-differences (SDID) estimator of Arkhangelsky et al. (2021) for Stata. Synthetic difference-in-differences can be used in a wide class of circumstances where treatment effects on some particular policy or...

Persistent link: https://www.econbiz.de/10014261980

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10013107698

Marital Matching, Economies of Scale and Intrahousehold Allocations

Cherchye, L. - 2016

We propose a novel structural method to empirically identify economies of scale in household consumption. We assume … collective households with consumption technologies that define the public and private nature of expenditures through Barten … scales. Our method recovers the technology by solely exploiting preference information revealed by households' consumption …

Persistent link: https://www.econbiz.de/10012982107