Showing 1 - 10 of 375
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
This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the...
Persistent link: https://www.econbiz.de/10012915736
In this paper we study the performance of the GMM estimator in the context of the covariance structure of earnings. Using analytical and Monte Carlo techniques we examine the sensitivity of parameter identification to key features such as panel length, sample size, the degree of persistence of...
Persistent link: https://www.econbiz.de/10013141764
Ridder and Woutersen (2003) have shown that under a weak condition on the baseline hazard there exist root-N consistent estimators of the parameters in a semiparametric Mixed Proportional Hazard model with a parametric baseline hazard and unspecified distribution of the unobserved heterogeneity....
Persistent link: https://www.econbiz.de/10013150359
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10013045058
This paper addresses the various methodological issues surrounding vector autoregressions, simultaneous equations, and chain reactions, and provides new evidence on the long-run inflation-unemployment tradeoff in the US. It is argued that money growth is a superior indicator of the monetary...
Persistent link: https://www.econbiz.de/10013158516
This paper provides an expression for the bias of the OLS estimator of the schooling coefficient in a simple static … coefficient is biased upward, and the bias is increasing with potential labor-market experience and the degree of earnings … persistence. In addition, NLSY data are used to show that the magnitude of the persistence bias is non-negligible, and the bias …
Persistent link: https://www.econbiz.de/10013087398
We characterize the bias of propensity score based estimators of common average treatment effect parameters in the case …
Persistent link: https://www.econbiz.de/10013325041
Using a matched firm-worker dataset, we show both theoretically and empirically that positive assortative matching between firms and workers leads to an underestimation of the absolute value of wage elasticity of labor demand
Persistent link: https://www.econbiz.de/10012775693
This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time …/selection bias. We then estimate the primary equation by fixed effects including an appropriately constructed control function from … both steps might employ nonlinear fixed effects procedures it is necessary to bias adjust the estimates due to the …
Persistent link: https://www.econbiz.de/10013317161