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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

sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in …

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

On sampling properties of real business cycle models

Lucke, Bernd - 1996

Persistent link: https://www.econbiz.de/10000927427

Panel data regression for counts

Brännäs, Kurt; Johansson, Per-Olov - 1995

Persistent link: https://www.econbiz.de/10000908799

Panel data regression for counts

Brännäs, Kurt - In: Statistical papers 37 (1996) 3, pp. 191-213

Persistent link: https://www.econbiz.de/10001204330

Laplace estimator of integrated volatility when sampling times are endogenous

Cui, Wenhao - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 651-663

Persistent link: https://www.econbiz.de/10013534035

Midastar : Threshold Autoregression with Data Sampled at Mixed Frequencies

Motegi, Kaiji; Dennis, Jay - 2022

We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The …

Persistent link: https://www.econbiz.de/10014240508

Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors

Yang, Lixiong - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 533-551

Persistent link: https://www.econbiz.de/10012819480

Modeling sample selection for durations with time-varying covariates, with an application to the duration of exchange rate regimes

Boehmke, Frederick J.; Meissner, Christopher M. - 2009

We extend existing estimators for duration data that suffer from non-random sample selection to allow for time-varying covariates. Rather than a continuous-time duration model, we propose a discrete-time alternative that models the effects of sample selection at the time of selection across all...

Persistent link: https://www.econbiz.de/10003895008

Is forecasting with large models informative? : assessing the role of judgement in macroeconomic forecasts

Mestre, Ricardo; McAdam, Peter - In: Journal of forecasting 30 (2011) 3, pp. 303-324

Persistent link: https://www.econbiz.de/10009233888

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008