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Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects

Kruiniger, Hugo - 2003

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects …. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the … conditional AR(1) panel model with fixed effects under various asymptotic plans. Then we show that when N tends to infinity but T …

Persistent link: https://www.econbiz.de/10014114275

Sensitivity of University Rankings : Implications of Stochastic Dominance Efficiency Analysis

Pinar, Mehmet; Milla, Joniada; Stengos, Thanasēs - 2018

To create their rankings, university-ranking agencies usually combine multiple performance measures into a composite index. However, both rankings and index scores are sensitive to the weights assigned to performance measures. This paper uses a stochastic dominance efficiency methodology to...

Persistent link: https://www.econbiz.de/10014112285

Robust-Efficient Credibility Models with Heavy-Tailed Claims : A Mixed Linear Models Perspective

Dornheim, Harald - 2014

successfully adopted to credibility theory in the actuarial literature. The objective of this work is to develop robust and …

Persistent link: https://www.econbiz.de/10013054067

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2011

inferential procedures. We develop theory for large sample inference based on the strong approximation of a sequence of series or …

Persistent link: https://www.econbiz.de/10009375645

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2012

bounds as a by-product of our inferential procedures. We develop theory for large sample inference based on the strong …

Persistent link: https://www.econbiz.de/10009668003

Nonparametric instrumental variable estimators of structural quantile effects

Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008

We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...

Persistent link: https://www.econbiz.de/10003961394

Russia's comparative advantages in foreign trade : forecasting potential dynamics and identifying stimulation measures

Savin, Ivan - 2013

Persistent link: https://www.econbiz.de/10009684693

Benchmarking global optimizers

Arnoud, Antoine; Guvenen, Fatih; Kleineberg, Tatjana - 2019

Persistent link: https://www.econbiz.de/10012128867

Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity

Abramova, Ekaterina; Bunn, Derek W. - 2019

This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

Persistent link: https://www.econbiz.de/10014107616

Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Arvanitis, Stelios - 2025

We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic spanning based on a greedy algorithm and Linear...

Persistent link: https://www.econbiz.de/10015194210