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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

Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes

Chabé-Ferret, Sylvain - In: Journal of Econometrics 185 (2015) 1, pp. 110-123

Matching and Difference in Difference (DID) are two widespread methods that use pre-treatment outcomes to correct for selection bias. I detail the sources of bias of both estimators in a model of earnings dynamics and entry into a Job Training Program (JTP) and I assess their performances using...

Persistent link: https://www.econbiz.de/10011190717

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-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting...

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

Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels

Bennala, Nezar; Hallin, Marc; Paindaveine, Davy - In: Journal of Econometrics 170 (2012) 1, pp. 50-67

We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random individual effects in an n×T panel. We establish a local asymptotic normality property–with respect to intercept, regression coefficient, the scale parameter σ of the error,...

Persistent link: https://www.econbiz.de/10011052340

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

Set identification via quantile restrictions in short panels

Rosen, Adam M. - In: Journal of Econometrics 166 (2012) 1, pp. 127-137

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation...

Persistent link: https://www.econbiz.de/10010597565

Asymptotics for panel quantile regression models with individual effects

Kato, Kengo; F. Galvao, Antonio; Montes-Rojas, Gabriel V. - In: Journal of Econometrics 170 (2012) 1, pp. 76-91

This paper studies panel quantile regression models with individual fixed effects. We formally establish sufficient conditions for consistency and asymptotic normality of the quantile regression estimator when the number of individuals, n, and the number of time periods, T, jointly go to...

Persistent link: https://www.econbiz.de/10010664692

Adaptive dynamic Nelson–Siegel term structure model with applications

Chen, Ying; Niu, Linlin - In: Journal of Econometrics 180 (2014) 1, pp. 98-115

We propose an Adaptive Dynamic Nelson–Siegel (ADNS) model to adaptively detect parameter changes and forecast the yield curve. The model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to...

Persistent link: https://www.econbiz.de/10010795336

Determining the MSE-optimal cross section to forecast

Arbués, Ignacio - In: Journal of Econometrics 175 (2013) 2, pp. 61-70

In this paper, we address the question of which subset of time series should be selected among a given set in order to forecast another series. We evaluate the quality of the forecasts in terms of Mean Squared Error. We propose a family of criteria to estimate the optimal subset. Consistency...

Persistent link: https://www.econbiz.de/10010666081

Optimal forecasts in the presence of structural breaks

Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail - In: Journal of Econometrics 177 (2013) 2, pp. 134-152

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on … experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies. …

Persistent link: https://www.econbiz.de/10010709433

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