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Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

Persistent link: https://www.econbiz.de/10010533201

Optimal Inference in Dynamic Models with Conditional Moment Restrictions

Christensen, Bent Jesper - 2008

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...

Persistent link: https://www.econbiz.de/10012723172

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Sun, Yixiao - 2008

bias of the robust standard error estimator. This approach contrasts with the conventional bandwidth choice rule for … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is …

Persistent link: https://www.econbiz.de/10012771849

Second Order Time Dependent Inflation Persistence in the United States : a GARCH-in-Mean Model with Time Varying Coefficients

Canepa, Alessandra - 2020

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate an autoregressive GARCH-in-mean model with variable coefficients and we propose a new measure of second-order time varying persistence, which not only distinguishes between...

Persistent link: https://www.econbiz.de/10012843786

Comparing Semi-Structural Methods to Estimate Unobserved Variables : The HPMV and Kalman Filters Approaches

Boone, Laurence - 2000

Economists often seek to estimate unobserved variables, representing “equilibrium” or “expected” values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators, for...

Persistent link: https://www.econbiz.de/10012445291

Improving the estimation and predictions of small time series models

Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014288356

Linear regression with weak exogeneity

Mikusheva, Anna; Sølvsten, Mikkel - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 367-403

inconsistent. The bias arises in settings with many regressors because the normalized OLS design matrix remains asymptotically … random and correlates with the regression error when only weak (but not strict) exogeneity holds. This bias' magnitude … increases with the number of regressors and their average autocorrelation. We propose an innovative approach to bias correction …

Persistent link: https://www.econbiz.de/10015423082

Bias in dynamic panel models under time series misspecification

Lee, Yoonseok - In: Journal of econometrics 169 (2012) 1, pp. 54-60

Persistent link: https://www.econbiz.de/10009666763