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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 … generalization of the Nickell type bias derived in the literature for the pure dynamic panel data models. It shows that in the … sufficiently small. To deal with the bias and size distortion of FE estimator when NN is large relative to TT, the use of half-panel …

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

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

Kruiniger, Hugo - 2019

Quasi ML estimators (MLEs) for panel AR(1) models with additional regressors. We also consider related GMM estimators. All … heteroskedasticity and are extensions and generalizations of the models considered in Kruiniger (2013. Quasi ML estimation of the panel …

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

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 … generalizes the well known Nickell bias formula derived for the pure autoregressive dynamic panel data models. It shows that in … N/T is sufficiently small. To deal with the bias and size distortion of FE-TE estimator the use of half-panel Jackknife …

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

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Su, Liangjun - 2015

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...

Persistent link: https://www.econbiz.de/10013028566

Jackknife Estimation of a Cluster-Sample IV Regression Model with Many Weak Instruments

Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen - 2021

This paper proposes new jackknife IV estimators that are robust to the effectsof many weak instruments and error heteroskedasticity in a cluster sample settingwith cluster-specific effects and possibly many included exogenous regressors. Theestimators that we propose are designed to properly...

Persistent link: https://www.econbiz.de/10013233800

Inference for Factor-Augmented Forecasting Regressions with Threshold effects

Yan, Yayi - 2020

This paper introduces a factor-augmented forecasting regression model in the presence of threshold effects. We consider least squares estimation of the regression parameters, and establish asymptotic theories for estimators of both slope coefficients and the threshold parameter. Prediction...

Persistent link: https://www.econbiz.de/10012849183

Quantile regression with generated regressors

Chen, Liqiong; Galvao, Antonio Fialho <Jr.>; Song, Suyong - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35

This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely,...

Persistent link: https://www.econbiz.de/10012504016

Quantile Regression with Generated Regressors

Chen, Liqiong - 2018

Persistent link: https://www.econbiz.de/10012932786

A simple diagnostic for time-series and panel-data regressions

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

We introduce a new regression diagnostic, tailored to time-series and panel-data regressions, which characterizes the …

Persistent link: https://www.econbiz.de/10015084320