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Measurement error in imputation procedures

Campos, Rodolfo G.; Reggio, Iliana - In: Economics letters 122 (2014) 2, pp. 197-202

Persistent link: https://www.econbiz.de/10010395190

Two-stage instrumental variable estimation of linear panel data models with interactive effects

Cui, Guowei; Norkuté, Milda; Sarafidis, Vasilis; … - 2020

This paper puts forward a new instrumental variables (IV) approach for linear panel datamodels with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...

Persistent link: https://www.econbiz.de/10012271550

Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects

Cui, Guowei - 2020

This paper puts forward a new instrumental variables (IV) approach for linear panel data-models with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...

Persistent link: https://www.econbiz.de/10012823392

Instrumental Variables Estimation for Infinite Order Panel Autoregressive Processes

Lee, Yoon-Jin; Okui, Ryo; Shintani, Mototsugu - 2023

We consider instrumental variables estimation of a possibly infinite order dynamic panel autoregressive (AR) process with individual effects. The estimation is based on the sieve AR approximation with its lag order increasing with sample size. Transforming the variable to eliminate individual...

Persistent link: https://www.econbiz.de/10014260654

Housing returns and intertemporal substitution in consumption : estimates for industrial economies

Pozzi, Lorenzo - 2022

This paper uses housing returns to estimate the elasticity of intertemporal substitution (EIS) in consumption for ….e., equity and bill returns. An estimable regression equation for aggregate consumption growth and returns is obtained from the … aggregation of the consumption Euler equations of heterogeneous agents. As the regression equation includes unobserved omitted …

Persistent link: https://www.econbiz.de/10013279905

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Kiviet, Jan F. - 2015

The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...

Persistent link: https://www.econbiz.de/10013028784

A unified framework for dynamic treatment effect estimation in interactive fixed effect models

Brown, Nicholas; Butts, Kyle - 2022

We present a unifying identification strategy of dynamic average treatment effect parameters for staggered interventions when parallel trends are valid only after controlling for interactive fixed effects. This setting nests the usual parallel trends assumption, but allows treated units to have...

Persistent link: https://www.econbiz.de/10013556783

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015

Persistent link: https://www.econbiz.de/10010476668

Do developing countries benefit from foreign direct investments?

Razzak, Weshah A.; Bentour, El Mostafa - 2012

In addition to the wide believed positive effects on growth, employment and wages, FDIs are often perceived as sources of funds for development. Developing countries, especially low income and emerging economies, welcome FDIs because of their favorable budgetary implications. All that resulted...

Persistent link: https://www.econbiz.de/10011526595

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these...

Persistent link: https://www.econbiz.de/10011654182