Search Results

Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds,
Oualid Bada and Alois Kneip, from University Library of Munich, Germany (2010)
Keywords: Panel Data Model; Factor Analysis; Credit Spread; Systematic Risk Premium;

Using Neural Networks to Build Pseudo Panels,
Patrice Gaubert, in European Journal of Economic and Social Systems (2004)
Keywords: Panels; Pseudo Panels; Kohonen Map; Consumption Function

Threshold effects of infl ation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach,
Thanh Su, in Journal of Economics, Finance and Administrative Science (2015)
Keywords: Inflación; Crecimiento; Umbral de la inflación; PSTR

The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications,
Christian Hansen and Yuan Liao, from University Library of Munich, Germany (2016)
Keywords: panel data, treatment effects

Efficient estimation of heterogeneous coefficients in panel data models with common shock,
Kunpeng Li and Lina Lu, from University Library of Munich, Germany (2014)
Keywords: Factor analysis; Block diagonal covariance; Panel data models; Common shocks; Maximum likelihood estimation, heterogeneous coefficients; Inferential theory

The Past, Present, and Future of FDI: Towards a better Global Economics,
Sana Ullah, Ahmed Usman and Muhammad Imran, in Journal of Quantitative Methods (2019)
Keywords: human capital; panel data; FDI

DETERMINANTS OF INVESTMENT FLOWS INTO EMERGING MARKETS,
Carlos Andrés Amaya G. and Peter Rowland, from Banco de la Republica (2004)
Keywords: Foreign direct investment;

INTEREST RATE SETTING AND THE COLOMBIAN MONETARY TRANSMISSION MECHANISM,
Carlos Andrés Amaya G., from Banco de la Republica (2005)
Keywords: Banks,

The influence analysis on public expenditure to the technique efficiency of China,
Xun Chen and Jie Yu, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2006)
Keywords: public expenditure, stochastic frontier, TFP, decomposition

Asymptotic distribution of factor augmented estimators for panel regression,
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul, in Journal of Econometrics (2012)
Keywords: Factor augmented panel regression; Factor augmented estimator; Principal component augmented estimator; Cross section dependence; Interactive fixed effects;

Estimating the number of common factors in serially dependent approximate factor models,
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul, in Economics Letters (2012)
Keywords: Factor model; Prewhitening; Least squares dummy variable (LSDV) filter; Factor number estimation; Cross-section dependence;

Panel Data Models,
Marno Verbeek, in Applied Econometrics (2006)
Keywords: panel data;

New Panel Unit Root Tests under Cross Section Dependence for Practitioners,
Donggyu Sul, from University Library of Munich, Germany (2005)
Keywords: recursive detrending, panel unit root tests, cross section dependence

SUR Estimation of Error Components Models With AR(1) Disturbances and Unobserved Endogenous Effects,
Peter Egger, from International Conferences on Panel Data (2002)
Keywords: Panel Econometrics; Serial Correlation; Seemingly unrelated regressions; Endogenous effects

Crecimiento Económico y Gasto Público: Una Interpretación de las Experiencias Internacionales y del Caso Colombiano (1982-1999),
Carlos Posada and José Fernando Escobar, from Banco de la Republica (2003)
Keywords: Crecimiento Economico,

Likelihood corrections for two-way models,
Koen Jochmans and Taisuke Otsu, from London School of Economics and Political Science, LSE Library (2019)
Keywords: fixed effects; information bias; modified profile likelihood; panel data; penalization; rectangular-array asymptotics

Likelihood Corrections for Two-way Models,
Koen Jochmans and Taisuke Otsu, in Annals of Economics and Statistics (2019)
Keywords: Fixed Effects, Information Bias, Modified Profile Likelihood, Panel Data, Penalization, Rectangular-Array Asymptotics

Current account sustainability in advanced economies,
Matteo Lanzafame, from University Library of Munich, Germany (2012)
Keywords: Current account sustainability; panel unit root tests; nonlinearity

Bias-corrected estimation of panel vector autoregressions,
Geert Dhaene and Koen Jochmans, in Economics Letters (2016)
Keywords: Bias correction; Fixed effects; Panel data; Vector autoregression;

Weak σ-convergence: Theory and applications,
Jianning Kong, Peter Phillips and Donggyu Sul, in Journal of Econometrics (2019)
Keywords: Asymptotics under misspecified trend regression; Cross section dependence; Evaporating trend; Relative convergence; Trend regression; Weak σ-convergence;

Indirect Inference Estimation of a First-Order Dynamic Panel Data Model,
Yong Bao, in Journal of Quantitative Economics (2021)
Keywords: Dynamic panel, Indirect inference, Bias

Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data,
Dean Hyslop and Wilbur Townsend, from Motu Economic and Public Policy Research (2016)
Keywords: Panel data, earnings dynamics, measurement error, validation study

Leverage and asymmetric volatility: The firm-level evidence,
Jan Ericsson, Xiao Huang and Stefano Mazzotta, in Journal of Empirical Finance (2016)
Keywords: Financial leverage; Stock volatility; Panel data; Vector autoregression;

Kajian Komoditas Pangan Strategis: Faktor Determinasi Variasi Harga Antardaerah,
Masagus M Ridhwan, Indriani Karlina and Yanfitri, from Bank Indonesia (2012)
Keywords: Interregional Price Variability, Strategic Food Commodities, Panel Data

Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity,
Jeffrey Wooldridge, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002)

Panel Cointegration Techniques and Open Challenges,
Peter Pedroni, from Department of Economics, Williams College (2018)
Keywords: Panel Time Series, Cointegration, Nonstationary Panels, Nonlinear Panels

Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model Based Procedures,
Massimiliano Marcellino, from European University Institute (1997)
Keywords: TIME SERIES ; MODELS

Forecasting with Panel Data,
Badi Baltagi, from Center for Policy Research, Maxwell School, Syracuse University (2007)
Keywords: forecasting; BLUP; panel data; spatial dependence; serial correlation; heterogeneous panels.

Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals,
Badi Baltagi, Chihwa Kao and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2007)
Keywords: Panel data, OLS, Fixed-effects, First-difference, GLS.

Consistent Estimation with Weak Instruments in Panel Data,
Chihwa Kao and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2007)
Keywords: Weak instrument; Two stage least squares; Panel data; Concentration parameter.

Panel Data Inference under Spatial Dependence,
Badi Baltagi and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2010)
Keywords: Panel data; Hausman test; Random effect; Spatial autocorrelation; Maximum Likelihood.

Seemingly Unrelated Regressions with Spatial Error Components,
Badi Baltagi and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2010)
Keywords: Seemingly unrelated regressions, panel data, spatial dependence, heterogeneity, forecasting.

Spatial Lag Models with Nested Random Effects: An Instrumental Variable Procedure with an Application to English House Prices,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2013)
Keywords: House Prices; Panel Data; Spatial Lag; Nested Random Effects; In-strumental Variables; Spatial Dependence

Predication in a Generalized Spatial Panel Data Model with Serial Correlation,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2016)
Keywords: Prediction; Panel Data; Fixed Effects; Random Effects; Serial Correlation; Spatial Error Correlation

Forecasting with Unbalanced Panel Data,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2020)
Keywords: Forecasting, BLUP, Unbalanced Panel Data, Unequally Spaced Panels, Serial Correlation

The Two-way Mundlak Estimator,
Badi Baltagi, from Center for Policy Research, Maxwell School, Syracuse University (2023)
Keywords: Mundlak Regression, Panel Data, Fixed and Random Effects, Two-way error components model, Hausman test

The Mundlak Spatial Estimator,
Badi Baltagi, from Center for Policy Research, Maxwell School, Syracuse University (2023)
Keywords: Mundlak Regression, Panel Data, Fixed and Random Effects, Spatial error model, Spatial Durbin model

The day-of-the-week effect is weak: Evidence from the European Real Estate Sector,
Georgios Bampinas, Stilianos Fountas and Theodore Panagiotidis, from Department of Economics, University of Macedonia (2015)
Keywords: day-of-the-week effect, real estate indices, rolling regressions, GARCH, data mining.

Are Gold and Silver a Hedge against Inflation? A Two Century Perspective,
Georgios Bampinas and Theodore Panagiotidis, from Department of Economics, University of Macedonia (2015)
Keywords: gold prices, silver prices, inflation hedge, time-varying cointegration.

Indirect Inference for Dynamic Panel Models,
Christian Gouriéroux, Peter Phillips and Jun Yu, from East Asian Bureau of Economic Research (2006)
Keywords: Autoregression, Bias Reduction, Dynamic panel

Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes,
Ruediger Fahlenbrach and Patrik Sandas, from Ohio State University, Charles A. Dice Center for Research in Financial Economics (2005)

Does asymmetric information affect the premium in mergers and acquisitions?,
Georges Dionne, Mélissa La Haye and Anne-Sophie Bergerès, in Canadian Journal of Economics (2015)

The two-way Hausman and Taylor estimator,
Badi Baltagi, in Economics Letters (2023)
Keywords: Two-way error components model; Panel data; Fixed and random effects; Hausman test; Hausman and Taylor estimator.;

The multidimensional Mundlak estimator,
Badi Baltagi, in Economics Letters (2024)
Keywords: Mundlak regression; Panel data; Fixed and random effects; Multidimensional error components model; Hausman test;

The Mundlak spatial estimator,
Badi Baltagi, in Journal of Spatial Econometrics (2023)
Keywords: Mundlak regression, Panel data, Fixed and random effects, Spatial error model, Spatial Durbin model

MULTILEVEL AND SPILLOVER EFFECTS ESTIMATED FOR SPATIAL PANEL DATA, WITH APPLICATION TO ENGLISH HOUSE PRICES,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, in Region et Developpement (2014)
Keywords: HOUSE PRICES, PANEL DATA, SPATIAL LAG, NESTED RANDOM EFFECTS, INSTRUMENTAL VARIABLES, SPATIAL DEPENDENCE

Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, in Journal of Urban Economics (2014)
Keywords: House prices; Panel data; Spatial lag; Nested random effects; Instrumental variables; Spatial dependence;

Forecasting with panel data,
Badi Baltagi, from Deutsche Bundesbank (2006)
Keywords: Forecasting, BLUP, Panel Data, Spatial Dependence, Serial Correlation

Estimating and forecasting with a dynamic spatial panel data model,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, from London School of Economics and Political Science, LSE Library (2011)
Keywords: panel data; spatial lag; error components; linear predictor; GMM; spatial autocorrelation

Dynamic analysis of multivariate panel data with nonlinear transformations,
Kees van Montfort and Catrien Bijleveld, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1997)

Reliability of Structural Shocks Estimates from a Bivariate SVAR Model: The Case of Southeast Asian Countries,
Arief Ramayandi, from Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University (2006)

Some Current Issues in the Statistical Analysis of Spillovers,
Daniela Gumprecht, Nicole Gumprecht and Werner Müller, from Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness (2003)
Keywords: Panel data; fixed effects; random coefficients; DOLS; R&D spillover

Estimating and Forecasting with a Dynamic Spatial Panel Data Model,
Badi Baltagi, Bernard Fingleton and Alain Pirotte, from Centre for Economic Performance, LSE (2011)
Keywords: Panel data, spatial lag, error components, linear predictor, GMM, spatial autocorrelation

Weak s- Convergence: Theory and Applications,
Jianning Kong, Peter Phillips and Donggyu Sul, from Cowles Foundation for Research in Economics, Yale University (2017)
Keywords: Asymptotics under misspecified trend regression, Cross section dependence, Evaporating trend, Relative convergence, Trend regression, Weak s-convergence

Indirect Inference for Dynamic Panel Models,
Christian Gourieroux, Peter Phillips and Jun Yu, from Cowles Foundation for Research in Economics, Yale University (2006)
Keywords: Autoregression, Bias reduction, Dynamic panel, Fixed effects, Indirect inference

Panel Data Models: Some Recent Developments,
Manuel Arellano and B. Honore, from Centro de Estudios Monetarios Y Financieros- (2000)
Keywords: ECONOMETRICS ; MODELS ; TIME SERIES

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence,
Peter Phillips and Donggyu Sul, from Yale School of Management (2004)
Keywords: Autoregression, bias, cross section, dependence, dynamic factors, dynamic panel estimation, incidental trends, panel unit root

The bank lending channel in an euroised economy: the case of Serbia,
Srdjan Kujundzic and Dragiša Otaševic, from National Bank of Serbia (2012)
Keywords: bank lending channel; Serbia; euroised economy; small-size dynamic panel estimation

Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence,
Peter Phillips and Donggyu Sul, from Cowles Foundation for Research in Economics, Yale University (2004)
Keywords: Autoregression, Bias, Cross section dependence, Dynamic factors, Dynamic panel estimation, Incidental trends, Panel unit root

Is Foreign Direct Investment Productive in the Latin America Case? A Panel Unit Root and Panel Cointegration Analysis, 1980-2001,
Miguel Ramirez, from Yale University, Department of Economics (2007)

Are Foreign and Public Capital Productive in the Mexican Case? A Panel Unit Root and Panel Cointegration Analysis,
Miguel Ramirez, from Yale University, Department of Economics (2008)

The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications,
Christian Hansen and Yuan Liao, from Rutgers University, Department of Economics (2016)
Keywords: treatment effects, panel data

Is Arbitration Addictive? Evidence From the Laboratory and the Field,
Janet Currie and Henry Farber, from Princeton University, Department of Economics, Industrial Relations Section. (1992)

Forecasting with Spatial Panel Data,
Badi Baltagi, Georges Bresson and Alain Pirotte, from Institute of Labor Economics (IZA) (2009)
Keywords: BLUP, panel data, spatial dependence, forecasting, heterogeneity

Wavelet Smoothed Empirical Copula Estimators,
Pedro Alberto Morettin, Clélia Maria de Castro Toloi, Chang Chiann and José Carlos Simon de Miranda, in Brazilian Review of Finance (2010)
Keywords: copula, empirical copula, time series, wavelet, , copula, empirical copula, time series, wavelet

Interval and Band Estimation for Curves with Jumps,
I Gijbels, P Hall and A Kneip, from Catholique de Louvain - Institut de statistique (1996)
Keywords: STATISTICS

What is Missing Sometimes to Enable Statistical Methods to Increase Their Cognitive Capacity?,
Nicolay Stoenchev, in Economic Alternatives (2010)
Keywords: statistical methods, statistical analysis, subjective errors

A review of non-parametric curve estimation methods with application to Econometrics,
Ronaldo Dias, in Economia (2002)
Keywords: Kernel estimation, cross-validation, orthogonal series, B-splines

COMBINING PARAMETRIC AND NON-PARAMETRIC METHODS TO COMPUTE VALUE-AT-RISK,
Ramon Alemany, Catalina Bolancé, Montserrat Guillén and Alemar E. Padilla-Barreto, in ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH (2016)
Keywords: quantile, nonparametric, loss models, extremes, risk evaluation

Dependent wild bootstrap for the empirical process,
Paul Doukhan, Gabriel Lang, Anne Leucht and Michael H. Neumann, from University of Mannheim, Department of Economics (2014)
Keywords: Absolute regularity , bootstrap , empirical process , time series , V -statistics , quantiles , Kolmogorov-Smirnov test

Análisis comparativo de la eficiencia de las instituciones micro financieras en América Latina; una evaluación mediante la envolvente de datos (DEA),
Antonio Kido-Cruz, Alberto Ortiz Zavala and María Teresa Kido-Cruz, in Economía: teoría y práctica (2022)
Keywords: Banca social, eficiencia, tipo de propiedad, dea, micro finanzas

Smooth monotonous functions reconstruction,
Sergey Smolyak, in Applied Econometrics (2010)
Keywords: Function of one variable; smoothness; monotonicity; reconstruction; random errors

Pricing maximum-minimum bidirectional options in trinomial CEV model,
Bin Peng and Fei Peng, in Journal of Economics, Finance and Administrative Science (2016)
Keywords: Trinomial CEV model; Recursive algorithm; Maximum-minimum bidirectional options

Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion,
Carlos Martins-Filho and Ke Yang, from University Library of Munich, Germany (2007)
Keywords: Additive non-parametric regression, Local linear estimation, Backfitting estimation, Smooth backfitting, Marginal integration

Comment on “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim,
Michael Keane, from University Library of Munich, Germany (2003)
Keywords: hedonic models; identification; Bayesian semi-parametrics, structural model; theory based empirical analysis; functional form assumptions; instrumental variables; mixture-of-normals; flexible parametric models

Testing a differential condition and local normality of densities,
Kairat Mynbayev and Aziza Aipenova, from University Library of Munich, Germany (2014)
Keywords: testing; local normality test; alternative hypothesis; null hypothesis; asymptotic normality

Estimation of varying coefficient models with time trend and integrated regressors,
Kunpeng Li and Weiming Li, in Economics Letters (2013)
Keywords: Varying coefficient model; Time trend; Local constant estimator; Consistency;

Efficient estimation of partially linear varying coefficient models,
Wei Long, Min Ouyang and Ying Shang, in Economics Letters (2013)
Keywords: Partially linear; Varying coefficient; Semiparametric method; Efficient estimation; Simulation;

Profile least squares estimation of a partially linear time trend model with weakly dependent data,
Zheng Li, Li Su and Daiqiang Zhang, in Economics Letters (2014)
Keywords: Partially linear; Time trend; Semiparametric bound, asymptotic normality;

Semiparametric estimation of default probability: Evidence from the Prosper online credit market,
Xiaofeng Li, Ying Shang and Zhi Su, in Economics Letters (2015)
Keywords: Semiparametric method; Single index model; Default probability;

Smoothed kernel conditional density estimation,
Kuangyu Wen and Ximing Wu, in Economics Letters (2017)
Keywords: Conditional density estimation; Bandwidth selection; Body mass index;

Consistent specification test for partially linear models with the k-nearest-neighbor method,
Wenju Wang and Qiao Wang, in Economics Letters (2019)
Keywords: Partially linear model; k-nearest-neighbor; Consistent test;

Robust kernels for kernel density estimation,
Shaoping Wang, Ang Li, Kuangyu Wen and Ximing Wu, in Economics Letters (2020)
Keywords: Kernel density estimation; Bandwidth selection; Robust kernel function; Income distribution;

Sample sensitivity for two-step and continuous updating GMM estimators,
Rikuto Onishi and Taisuke Otsu, in Economics Letters (2021)
Keywords: Sensitivity analysis; Generalized method of moments; Misspecification;

Inference on incomplete information games with multi-dimensional actions,
Hideyuki Tomiyama and Taisuke Otsu, in Economics Letters (2022)
Keywords: Multiple equilibria; Partial identification; Moment inequalities;

Inference on conditional moment restriction models with generated variables,
Ryo Kimoto and Taisuke Otsu, in Economics Letters (2022)
Keywords: Conditional moment restriction; Generated variable; GMM;

Empirical likelihood inference for Oaxaca–Blinder decomposition,
Taisuke Otsu and Shiori Tanaka, in Economics Letters (2022)
Keywords: Oaxaca–Blinder decomposition; Empirical likelihood; Two-sample test;

On empirical likelihood statistical functions,
Ao Yuan, Jinfeng Xu and Gang Zheng, in Journal of Econometrics (2014)
Keywords: Empirical likelihood; Quantile estimation; Uniform SLLN; Uniform CLT;

Consistent model specification tests based on k-nearest-neighbor estimation method,
Hongjun Li, Qi Li and Ruixuan Liu, in Journal of Econometrics (2016)
Keywords: k-nearest-neighbor method; Consistent test; Bootstrap; Empirical application;

Testing rationality without restricting heterogeneity,
Kohei Kawaguchi, in Journal of Econometrics (2017)
Keywords: Stochastic rationalizability; Axiom of revealed stochastic preference; Nonparametric test; Bootstrap;