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First difference maximum likelihood and dynamic panel estimation

Han, Chirok; Phillips, Peter C.B. - In: Journal of Econometrics 175 (2013) 1, pp. 35-45

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … finite sample performance and asymptotics. FDML uses the Gaussian likelihood function for first differenced data and … parameter estimation is based on the whole domain over which the log-likelihood is defined. However, extending the domain of the …

Persistent link: https://www.econbiz.de/10011052217

Nonparametric rank tests for non-stationary panels

Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...

Persistent link: https://www.econbiz.de/10011190711

Panel unit root tests in the presence of a multifactor error structure

Pesaran, M. Hashem; Vanessa Smith, L.; Yamagata, Takashi - In: Journal of Econometrics 175 (2013) 2, pp. 94-115

This paper extends the cross-sectionally augmented panel unit root test (CIPS) proposed by Pesaran (2007) to the case of a multifactor error structure, and proposes a new panel unit root test based on a simple average of cross-sectionally augmented Sargan–Bhargava statistics (CSB). The basic...

Persistent link: https://www.econbiz.de/10011052269

Inference with dependent data using cluster covariance estimators

Bester, C. Alan; Conley, Timothy G.; Hansen, Christian B. - In: Journal of Econometrics 165 (2011) 2, pp. 137-151

This paper presents an inference approach for dependent data in time series, spatial, and panel data applications. The method involves constructing t and Wald statistics using a cluster covariance matrix estimator (CCE). We use an approximation that takes the number of clusters/groups as fixed...

Persistent link: https://www.econbiz.de/10010577508

QML estimation of dynamic panel data models with spatial errors

Su, Liangjun; Yang, Zhenlin - In: Journal of Econometrics 185 (2015) 1, pp. 230-258

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross …

Persistent link: https://www.econbiz.de/10011190720

Bias in dynamic panel models under time series misspecification

Lee, Yoonseok - In: Journal of Econometrics 169 (2012) 1, pp. 54-60

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias formula is quite different from the correctly...

Persistent link: https://www.econbiz.de/10010574080

Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US

Bhargava, Alok - In: Journal of Econometrics 183 (2014) 2, pp. 241-250

maximum likelihood taking into account heterogeneity across firms. Likelihood ratio statistics were developed for sequentially …

Persistent link: https://www.econbiz.de/10011077590

Estimation of fixed effects panel regression models with separable and nonseparable space–time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of Econometrics 184 (2015) 1, pp. 174-192

This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual fixed …, which results in an exact likelihood function for estimation. This is important when the span of time periods is short. We …

Persistent link: https://www.econbiz.de/10011077609

Multiplicative-error models with sample selection

Jochmans, Koen - In: Journal of Econometrics 184 (2015) 2, pp. 315-327

This paper presents a simple approach to deal with sample selection in models with multiplicative errors. Models for non-negative limited dependent variables such as counts fit this framework. The approach builds on a specification of the conditional mean of the outcome only and is, therefore,...

Persistent link: https://www.econbiz.de/10011117417

Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake

Fujiki, Hiroshi; Hsiao, Cheng - In: Journal of Econometrics 186 (2015) 1, pp. 66-73

We propose a panel data approach to disentangle the impact of “one treatment” from the “other treatment” when the observed outcomes are subject to both treatments. We use the Great Hanshin-Awaji earthquake that took place on January 17, 1995 to illustrate our methodology. We find that...

Persistent link: https://www.econbiz.de/10011209284