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Common Correlated Effect Cross-Sectional Dependence Corrections for Non-Linear Conditional Mean Panel Models
Hacioglu Hoke, Sinem - 2017
This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the presence of cross-sectional dependence. We modify the common correlated effects (CCE) correction of Pesaran (2006) to filter out the interactive unobserved multifactor structure....
Persistent link: https://www.econbiz.de/10012945574
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Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
Hong, Yongmiao - 2011
adaptive analytic tools, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can … cycles, and other kinds of periodicity. This paper proposes a new class of wavelet-based tests for serial correlation of … correlation of unknown form. We propose and justify a data-driven finest scale, in an automatic manner, converges to zero under …
Persistent link: https://www.econbiz.de/10013127204
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Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the...
Persistent link: https://www.econbiz.de/10012010208
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Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
Löhr, Sebastian - 2015
-specific effects on implied tranche correlations. The implied-correlation forecasts of tranche spreads are compared to forecasts using … correlation model …
Persistent link: https://www.econbiz.de/10013034784
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Panel Data Nowcasting in a Data-Rich Environment : The Case of Price-Earnings Ratios
Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, … - 2022
This paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled...
Persistent link: https://www.econbiz.de/10013492089
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Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios
Babii, Andrii - 2020
This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the empirical problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial,...
Persistent link: https://www.econbiz.de/10012826088
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Alternative error covariance assumptions in dynamic panel data models
Anderson, Gordon - 1988
Persistent link: https://www.econbiz.de/10000124830
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Common Correlated Effects Estimation of Heterogeneous : Dynamic Panel Quantile Regression Models
Harding, Matthew C. - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...
Persistent link: https://www.econbiz.de/10012911881
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew C. - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...
Persistent link: https://www.econbiz.de/10012908711
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More efficient estimation of multiplicative panel data models in the presence of serial correlation
Brown, Nicholas; Wooldridge, Jeffrey M. - 2023
, overdispersion, and general patterns of serial correlation. Because parameters in the optimal instruments must be estimated, we argue …
Persistent link: https://www.econbiz.de/10013556880