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Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models

Cai, Zongwu; Li, Qi - 2013

We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data …

Persistent link: https://www.econbiz.de/10010892093

Novelli, Giacomo - 2022

groups of countries with a similar degree of energy dependency and using a cross-sectionally augmented panel autoregressive …

Persistent link: https://www.econbiz.de/10013470533

Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results

Jönsson, Kristian - 2005

In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that … the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …

Persistent link: https://www.econbiz.de/10013208476

International Remittances – A proposal how to test hypotheses about determinants of remittances with macroeconomic time series

Karpestam, Peter; Andersson, Fredrik N. G. - 2011

horizons. For this purpose we use a macroeconomic panel with consumption and remittances data from 50 low and middle income … variables for the full panel and for different subpanels. The data is decomposed into different time horizons using a maximal …

Persistent link: https://www.econbiz.de/10013208563

Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors

Stauskas, Ovidijus - 2021

A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...

Persistent link: https://www.econbiz.de/10013208900

Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed

Kaddoura, Yousef; Westerlund, Joakim - 2021

In this article, we propose a new estimator of panel data models with interactive fixed effects and multiple structural …

Persistent link: https://www.econbiz.de/10013208906

Bootstrap Improved Inference for Factor-Augmented Regressions with CCE

De Vos, Ignace; Stauskas, Ovidijus - 2021

The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel …

Persistent link: https://www.econbiz.de/10013208907

Robust Value at Risk Prediction

Mancini, Loriano; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Persistent link: https://www.econbiz.de/10005858522

Monitoring and norms in sickness insurance: Empirical evidence from a natural experiment

Hesselius, Patrik; Johansson, Per; Vikström, Johan - 2008

We test if social work norms are important for work absence due to self-perceived sick-ness. To this end, we use a randomized social experiment designed to estimate the effect of monitoring on work absence. The treated were exposed to less monitoring of their eligibility to use sickness...

Persistent link: https://www.econbiz.de/10010273936

Bandspectrum Cointegration

Andersson, Fredrik N. G. - 2008

. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The …

Persistent link: https://www.econbiz.de/10013208534