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How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms
Castle, Jennifer L.; Qin, Xiaochuan; Reed, W. Robert - Department of Economics and Finance, College of … - 2009
This paper reviews and compares twenty-one different model selection algorithms (MSAs) representing a diversity of approaches, including (i) information criteria such as AIC and SIC; (ii) selection of a “portfolio” or best subset of models; (iii) general-to-specific algorithms, (iv)...
Persistent link: https://www.econbiz.de/10008577769
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Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates
Castle, Jennifer; Qin, Xiaochuan; Reed, W. Robert - Department of Economics and Finance, College of … - 2011
This review surveys a number of common Model Selection Algorithms (MSAs), discusses how they relate to each other, and identifies factors that explain their relative performances. At the heart of MSA performance is the trade-off between Type I and Type II errors. Some relevant variables will be...
Persistent link: https://www.econbiz.de/10008800740
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Estimating Standard Errors For The Parks Model: Can Jackknifing Help?
Reed, W. Robert; Webb, Rachel S. - Department of Economics and Finance, College of … - 2009
present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has …, its overall performance is not sufficient to make it a viable alternative to other panel data estimators. …
Persistent link: https://www.econbiz.de/10008558472
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The PCSE Estimator is Good -- Just Not as Good as You Think
Reed, W. Robert; Webb, Rachel - Department of Economics and Finance, College of … - 2010
This paper investigates the properties of the Panel-Corrected Standard Error (PCSE) estimator. The PCSE estimator is …
Persistent link: https://www.econbiz.de/10008525347
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Another Look at what to do with Time-series Cross-section Data
Chen, Xiujian; Lin, Shu; Reed, W. Robert - Department of Economics and Finance, College of … - 2006
Our study revisits Beck and Katz' (1995) comparison of the Parks and PCSE estimators using time-series, cross-sectional data (TSCS). Our innovation is that we construct simulated statistical environments that are designed to approximate actual TSCS data. We pattern our statistical environments...
Persistent link: https://www.econbiz.de/10005111039
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A Monte Carlo Evaluation of Some Common Panel Data Estimators when Serial Correlation and Cross-sectional Dependence are Both Present
Reed, W. Robert; Ye, Haichun - Department of Economics and Finance, College of … - 2007
This study employs Monte Carlo experiments to evaluate the performances of a number of common panel data estimators … intervals. An innovation of our study is that our simulated panel data sets are designed to look like “real-world” panel data … basis for a set of estimator recommendations. These are applied to “out of sample” simulated panel data sets and found to …
Persistent link: https://www.econbiz.de/10005111061
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A Monte Carlo Evaluation of the Efficiency of the PCSE Estimator
Chen, Xiujian; Lin, Shu; Reed, W. Robert - Department of Economics and Finance, College of … - 2006
Panel data characterized by groupwise heteroscedasticity, cross-sectional correlation, and AR(1) serial correlation …
Persistent link: https://www.econbiz.de/10005111066
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Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression
Petzold, Max; Jonsson, Robert - Nationalekonomiska institutionen, Handelshögskolan - 2003
Two small-sample tests for random coefficients in linear regression are derived from the Maximum Likelihood Ratio. The first test has previously been proposed for testing equality of fixed effects, but is here shown to be suitable also for random coefficients. The second test is based on the...
Persistent link: https://www.econbiz.de/10005651720
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A Note on the Practice of Lagging Variables to Avoid Simultaneity
Reed, W. Robert - Department of Economics and Finance, College of … - 2013
A common practice in applied econometrics consists of replacing a suspected endogenous variable with its lagged values. This note demonstrates that lagging an endogen¬ous variable does not enable one to escape simultaneity bias. The associated estimates are still inconsistent, and hypothesis...
Persistent link: https://www.econbiz.de/10010907403
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The Neoclassical Determinants of Real Wage
Ivrendi, Mehmet; Guloglu, Bulent; Yetkiner, Y. Hakan - 2013
. In this paper, using panel data from 26 OECD countries, we show that technology and factor endowments (physical capital …
Persistent link: https://www.econbiz.de/10011807220