Econometrics Models - Panel Data
Spatial panel data models with structural change
... econometric models have been widely used in empirical ...spatial models are one of primary tools to study the endogenous effects or peer effects, see ...spatial models are widely used to study the ...
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Essays in panel data econometrics with cross sectional dependence
... Theoretical predictions. On the one hand, there are theoretical reasons for why competition can harm market quality. Security exchanges may be natural monop- olies because a single exchange has lower costs when compared ...
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Investment-Cash Flow Sensitivity – A Focus on the Panel-Data Econometrics Involved
... static models of financial decisions – as mostly employed in the literature – produce inconsistent coefficient estimates, and that models that do not acknowledge the interdependence among de- cision ...
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Testing the exogeneity assumption in panel data models with "non classical" disturbances
... applied panel data ...The econometrics of panel data offers a variety of estimators for the same ...appropriate panel data estimators, but to construct a version of the ...
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Panel data sample selection models.
... for panel data sample selection models are discussed, mostly from a theoretical point o f view but also from an applied ...f panel data is commonly confronted with two problems, sample ...
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New GMM Estimators for Dynamic Panel Data Models
... The econometrics literatures focus on three types of GMM estimators when studying the DPD models. The First is first-difference GMM (DIF) estimator which presented by Arellano and Bond [4], and the second ...
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Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
... single–index models in both the cross–sectional and time series cases (see, for example, H¨ ardle, Hall and Ichimura 1993; Carroll et ...index models for panel data. Single–index models ...
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EM estimation of dynamic panel data models with Heteroskedastic Random Coefficients
... We show how to combine the EM algorithm with the restricted maximum likelihood (REML) approach to estimate a general class of dynamic heterogeneous panels. We also review the existing sampling and Bayesian methods ...
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Robust linear static panel data models using epsilon contamination
... classic panel data estimator to employ for a linear static regression model depends upon the hypothesized correlation between the individual effects and the ...hierarchical models) to estimate the ...
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Efficient estimation of heterogeneous coefficients in panel data models with common shock
... Remark 7.1 Two specifications in M denotes the two models considered in the paper. M1 corresponds to the basic model, and M2 corresponds to the model with zero restric- tions. We consider two different sets of ...
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Modeling Recurrent Events in Panel Data Using Mixed Poisson Models
... to panel data using a time interval of length 13 and 52 ...the data. The graphs in Figure 1, however, only consider data during the time interval from the start of the analysis to the first 13 ...
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Estimation and inference in mixed fixed and random coefficient panel data models
... various panel data models as special ...heterogeneous panel data, to highlight similarities and differences with the EM-REML ...
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The Econometrics of Bayesian Graphical Models: A Review With Financial Application
... graphical models for time series (Carvalho and West 2007; Carvalho et al 2007; Dahlhaus and Eichler ...the econometrics literature (Diks and Panchenko 2005; Hoover ...
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Bayesian Methods for Completing Data in Space-Time Panel Models
... regional data on a range of different statistical topics, collected by the 27 mem- ber states, but also from the three candidate countries and from the four EFTA ...
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The role of geographical proximity on firm technological linkage - An identification of the relation by means of the econometrics of the data of Panel: The case of the French companies
... Dans ce cas, l'hétérogénéité individuelle est incluse dans le terme d’erreur. Les coefficients estimés et les statistiques correspondantes sont pratiquement les mêmes que ceu[r] ...
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Spatial panel models
... spatial panel data models. Both static and dynamic models will be ...econometric models that include lags of the dependent variable and of the independent variables in both space and ...
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Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks
... of panel data in recent years; see, for example, Pesaran (2006), Bai (2009), Bai and Li (2014), and Moon and Weidner (2014, ...in panel data models with interactive fixed effects and ...
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Bias Correction Methods for Dynamic Panel Data Models with Fixed Effects
... dynamic panel data (DPD) models with fixed effects which suggested in econometric literature, such as least squares (LS) and generalized method of moments ...
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One-Step Robust Estimation of Fixed-Effects Panel Data Models
... fixed-effects models, which strictly require additional distributional assump- tions such as errors being independent and identically distributed across all individuals and time periods and does not allow for ...
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R Codes to Calculate GMM Estimations for Dynamic Panel Data Models
... These codes presented three functions for calculating three important estimators in dynamic panel data (DPD) models; these estimators are Arellano-Bond (1991), Arellano- Bover (1995), and ...
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