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Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22

estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …

Persistent link: https://www.econbiz.de/10011636497

Quasi ML Estimation of the Panel AR(1) Model with Additional Regressors

Kruiniger, Hugo - 2019

heteroskedasticity and are extensions and generalizations of the models considered in Kruiniger (2013. Quasi ML estimation of the panel … individual effects; and we discuss estimation of models with time-varying individual effects. We also discuss how to choose … than the ss-LIMLE of Moral-Benito (2013. Likelihood-based estimation of dynamic panels with predetermined regressors …

Persistent link: https://www.econbiz.de/10012903818

Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressor

Chudik, Alexander - 2017

This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent …

Persistent link: https://www.econbiz.de/10012968220

Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressors

Chudik, Alexander - 2018

This paper considers estimation and inference in linear panel regression models with lagged dependent variables and …

Persistent link: https://www.econbiz.de/10012934791

Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects

Sun, Yiguo - 2017

effects from the model by transforming the latter into a semiparametric additive model, the estimation of which however does … results for the proposed kernel and sieve estimators. We also construct a consistent nonparametric test to test for spatial …

Persistent link: https://www.econbiz.de/10012944279

A jackknife variance estimator for panel regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as the conventional leave-one-out jackknife variance estimator on a transformed space of the regressors and residuals using orthonormal trigonometric basis functions. We prove the...

Persistent link: https://www.econbiz.de/10015084323

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

Chudik, Alexander - 2017

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …

Persistent link: https://www.econbiz.de/10012946881

A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects

Hayakawa, Kazuhiko; Nagata, Shuichi; Yamagata, Takashi - 2018

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...

Persistent link: https://www.econbiz.de/10011879510

A bias-corrected method of moments approach to estimation of dynamic Short-T panels

Chudik, Alexander; Pesaran, M. Hashem - 2017

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …

Persistent link: https://www.econbiz.de/10011735967

Minimum Distance Testing and Top Income Shares in Korea

Cho, Jin Seo - 2015

parameter estimation. The asymptotic null distribution of the resulting test statistic is represented by invariance principle … arguments as a functional of a Brownian bridge in a simple regression format for which asymptotic critical values are readily …

Persistent link: https://www.econbiz.de/10013020465