Showing 1 - 10 of 3,882
This paper discusses likelihood-based estimation of linear panel data models with general predetermined variables and individual-specific effects. The resulting (pseudo) maximum likelihood estimator is asymptotically equivalent to standard GMM but tends to have smaller finite-sample biases as...
Persistent link: https://www.econbiz.de/10013125050
We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic heterogeneity which is suitable for inference in short panels, unlike alternative estimators. Monte Carlo simulations indicate that our estimator produces less bias, and a lower...
Persistent link: https://www.econbiz.de/10009680588
For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the sample global minimum variance portfolio with a sample...
Persistent link: https://www.econbiz.de/10011547611
A new panel data model is proposed to represent the behavior of economies in transition allowing for a wide range of possible time paths and individual heterogeneity. The model has both common and individual specific components and is formulated as a nonlinear time varying factor model. When...
Persistent link: https://www.econbiz.de/10012778068
This paper proposes a novel testing procedure for selecting a sparse set of covariates that explains a large dimensional panel. Our selection method provides correct false detection control while having higher power than existing approaches. We develop the inferential theory for large panels...
Persistent link: https://www.econbiz.de/10014264019
The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...
Persistent link: https://www.econbiz.de/10010490550
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
Two-pass cross sectional regression (TPCSR) is frequently used in estimating factor risk premiums. Recent papers argue that the common practice of grouping assets into portfolios to reduce the errors-in-variables (EIV) problem leads to loss of efficiency and masks potential deviations from asset...
Persistent link: https://www.econbiz.de/10013039368
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011446039
This note provides the details of the estimation procedure in Br¨unner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude...
Persistent link: https://www.econbiz.de/10012507949