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Sensitivity analysis using approximate moment condition models

Armstrong, Timothy B.; Kolesár, Michal - 2018

Persistent link: https://www.econbiz.de/10011948942

Consistency in estimation and model selection of dynamic panel data models with fixed effects

Li, Guangjie - In: Econometrics : open access journal 3 (2015) 3, pp. 494-524

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters...

Persistent link: https://www.econbiz.de/10011297557

Model and moment selection in factor copula models

Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012878186

Firms' heterogeneity, endogenous entry, and exit decisions

Totzek, Alexander - 2009

As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...

Persistent link: https://www.econbiz.de/10010299744

Panel data dynamics and measurement errors: GMM bias, IV validity and model fit - a Monte Carlo study

Biørn, Erik; Han, Xuehui - 2012

memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators …

Persistent link: https://www.econbiz.de/10010330209

The measurement error problem in dynamic panel data analysis: Modeling and GMM estimation

Biørn, Erik - 2012

The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random … is assumed. Two specializations of GMM are considered: (i) using instruments (IVs) in levels for a differenced version of … sample biases and IV quality are illustrated by Monte Carlo simulations. Overall, with respect to bias and IV strength, GMM …

Persistent link: https://www.econbiz.de/10010330243

Estimates of the open economy New Keynesian Phillips curve for euro area countries

Rumler, Fabio - 2005

This paper extends the existing literature on the open economy New Keynesian Phillips Curve by incorporating three different factors of production, domestic labor and imported as well as domestically produced intermediate goods, into a general model which nests existing closed economy and open...

Persistent link: https://www.econbiz.de/10011604542

The uncovered return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2007

This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...

Persistent link: https://www.econbiz.de/10011604858

Modelling inflation in China - a regional perspective

Mehrotra, Aaron N.; Peltonen, Tuomas A.; Santos Rivera, … - 2007

We model provincial inflation in China during the reform period. In particular, we are interested in the ability of the hybrid New Keynesian Phillips Curve (NKPC) to capture the inflation process at the provincial level. The study highlights differences in inflation formation and shows that the...

Persistent link: https://www.econbiz.de/10011604875

Estimating the Probability of Leaving Unemployment Using Uncompleted Spells from Repeated Cross-Section Data

Güell, Maia; Hu, Luojia - 2004

This paper proposes a new econometric estimation method for analyzing the probability of leaving unemployment using uncompleted spells from repeated cross-section data, which can be especially useful when panel data are not available. The proposed method-ofmoments- based estimator has two...

Persistent link: https://www.econbiz.de/10010261840

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