Showing 1 - 10 of 5,663
This paper is concerned with the estimation of the autoregressive parameter of dynamic panel data models. We propose a bias-corrected GMM estimator whose bias is smaller than that of many existing GMM estimators. And we propose a small sample corrected estimator of the variance in order to...
Persistent link: https://www.econbiz.de/10005489447
A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...
Persistent link: https://www.econbiz.de/10011171755
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...
Persistent link: https://www.econbiz.de/10011636497
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …
Persistent link: https://www.econbiz.de/10012018487
This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator …
Persistent link: https://www.econbiz.de/10012160012
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...
Persistent link: https://www.econbiz.de/10011709583
This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …
Persistent link: https://www.econbiz.de/10012020272
This paper shows how to bootstrap hypothesis tests in the context of the Parks's (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)'s top competitor. The FGLS(Parks) estimator …
Persistent link: https://www.econbiz.de/10012160886
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...
Persistent link: https://www.econbiz.de/10011305389
The theoretical analysis of structural changes in the context of economic growth has a long tradition. However, studies which analyze the empirical relationship between these two economic categories are still very rare. In the literature, whether growth causes structural changes or the other way...
Persistent link: https://www.econbiz.de/10011844751