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Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...

Persistent link: https://www.econbiz.de/10011650493

Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

models describe mappings from a latent distribution to an observed distribution. The identification and estimation of …

Persistent link: https://www.econbiz.de/10010469057

Panel stochastic frontier analysis with dependent error terms

El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40

In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and the introduction of time effect models in the Stochastic...

Persistent link: https://www.econbiz.de/10012816131

Estimating Markov Transition Probabilities Between Health States Using U.S. Longitudinal Survey Data

Jung, Juergen - 2021

We use data from two representative U.S. household surveys, the Medical Expenditure Panel Survey (MEPS) and the Health and Retirement Study (Rand-HRS) to estimate Markov transition probability matrices between health states over the lifecycle from age 20–95. We use non-parametric and...

Persistent link: https://www.econbiz.de/10013242676

A correction function approach to solve the incidental parameter problem

Li, Guangjie; Leon-Gonzalez, Roberto - 2009

estimation and model comparison. The results based on the simulated data sets suggest that our method could achieve consistency … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … problem ; consistency in estimation ; model selection ; Bayesian model averaging ; Markov chain Monte Carlo (MCMC) …

Persistent link: https://www.econbiz.de/10003817215

Estimation of linear dynamic panel data models with time-invariant regressors : conference paper

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

Persistent link: https://www.econbiz.de/10010342822

Judging Contending Estimators by Simulation : Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - 2006

An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...

Persistent link: https://www.econbiz.de/10014060519