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Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

Persistent link: https://www.econbiz.de/10010398630

The weak instrument problem of the system GMM estimator in dynamic panel data models

Bun, Maurice; Windmeijer, Frank - 2007

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator. …

Persistent link: https://www.econbiz.de/10010318586

GM estimation of higher order spatial autoregressive processes in panel data error component models

Badinger, Harald; Egger, Peter - 2008

panel data error component model. We derive moment conditions to estimate the parameters of the higher order spatial …

Persistent link: https://www.econbiz.de/10010264361

GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances

Badinger, Harald; Egger, Peter - 2008

This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial...

Persistent link: https://www.econbiz.de/10010264403

Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

Persistent link: https://www.econbiz.de/10010264566

Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects

Lechner, Michael; Laisney, François - 2002

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …

Persistent link: https://www.econbiz.de/10010297847

Robust estimation and inference in panels with interactive fixed effects

Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

Persistent link: https://www.econbiz.de/10014480692

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2012

We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more fl exible forms of conditional...

Persistent link: https://www.econbiz.de/10010500222

Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors

Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - 2005

This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs...

Persistent link: https://www.econbiz.de/10010261344

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas; Tente, Sebastian - 2008

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...

Persistent link: https://www.econbiz.de/10010298775