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On the Estimation of Panel Regression Models with Fixed Effects
Kruiniger, Hugo - 2002
This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …
Persistent link: https://www.econbiz.de/10014120610
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Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
Gao, Jiti; Chen, Jia; Li, Degui - 2010
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis …
Persistent link: https://www.econbiz.de/10014191157
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Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao - 2015
heterogeneity or unobserved state variables and panel data models with fixed effects. Recent developments in measurement error …
Persistent link: https://www.econbiz.de/10010469057
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Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
Gao, Jiti; Chen, Jia; Li, Degui - 2010
In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function …
Persistent link: https://www.econbiz.de/10014191155
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Penalized quantile regression with semiparametric correlated effects : applications with heterogeneous preferences
Harding, Matthew C.; Lamarche, Carlos - 2013
This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for …
Persistent link: https://www.econbiz.de/10010238040
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Distribution free estimation of spatial autoregressive binary choice panel data models
Arduini, Tiziano - 2016
panel data with fixed effects. The estimation procedure is based on the observational equivalence between distribution free …
Persistent link: https://www.econbiz.de/10011705647
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Simple estimation of semiparametric models with measurement errors
Evdokimov, Kirill S.; Zeleneev, Andrei - 2025 - This version: November 28, 2024
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...
Persistent link: https://www.econbiz.de/10015178608
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Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models
Wang, Liqun; Hsiao, Cheng - In: Journal of econometrics 165 (2011) 1, pp. 30-44
Persistent link: https://www.econbiz.de/10009374502
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Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects
Chen, Xiaohong - 2008
We study semiparametric efficiency bounds and efficient estimation of parameters defined through general nonlinear, possibly non-smooth and over-identified moment restrictions, where the sampling information consists of a primary sample and an auxiliary sample. The variables of interest in the...
Persistent link: https://www.econbiz.de/10012772497
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Simple estimation of semiparametric models with measurement errors
Evdokimov, Kirill S.; Zeleneev, Andrei - 2024 - This version: March 15, 2024
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...
Persistent link: https://www.econbiz.de/10014513441