Panel regressions using the augmented-ICAPM model
On the estimation of covariance matrices using panel data artificial regressions
... The fact that the equation sets in the auxiliary regression constructed are not orthogonal is not taken into consideration. A wrong answer will also come from the White’s estimators. They are not robust to the presence ...
13
Endogeneity and Panel Data in Growth Regressions: A Bayesian Model Averaging Approach
... of model uncertainty in the set of regressors, in the exogeneity restrictions, and in the choice of instruments typically used in panel data growth regressions with fixed ...
46
Endogeneity and Panel Data in Growth Regressions: A Bayesian Model Averaging Approach
... are using 7 four-year ...instruments using lags of aid and log GDP per capita for the panel regressions (see Table ...effects using equation ...the model at all), but when we ...
32
Asymptotics and Bootstrap for Transformed Panel Data Regressions
... December, 2008 Abstract This paper investigates the asymptotic properties of quasi-maximum likelihood es- timators for transformed random effects models where both the response and (some of) the covariates are subject to ...
31
Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions
... regression model is as follows: log(Y ) = α + β 1 log(K 1 ) + β 2 log(K 2 ) + β 3 log(L) + β 4 log(U nemp) + u, where Y is gross state product, K 1 is public capital which includes highways and streets, water and ...
20
An econometric model on bilateral trade in education using an augmented gravity model
... the panel regression using the ordinary least squares (OLS) method, where the types of fixed effects are constrained to equal the constant: γ = γ e + γ i + γ t ...the panel regression results ...
12
ICAPM with time-varying risk aversion
... and ICAPM scaled by DY (Panel B), and VS (Panel ...each model, I estimate both OLS and GLS cross-sectional regression estimates of risk premia, with two types of standard errors ...time-series ...
91
Conditioned Export-Led Growth Hypothesis: A Panel Threshold Regressions Approach
... the model uncertainty and the measurement error issues we must try for different measures (where available) that could represent the same factor on the growth ...linear model estimates, using an ...
29
Demographic dynamics and per capita environmental impact: using panel regressions and household decompositions to examine population and transport
... increasing. Under Model II, urbanization was typically significant, and implied, as expected, that highly urbanized societies have lower demands for personal transport. Table 2 The main casualty of loosing 50 data ...
21
Topics in Time Series Regressions: Pre-Test Estimators and Panel Data Analysis
... restricted model have good efficiency even though that model imposes a ...restricted model is the true model except θ =0, the pre-test results in both ratios close to 1 when θ is not ...the ...
315
CiteSeerX — Unequally spaced panel data regressions with AR(1) disturbances. Econometric Theory
... Some panel data sets cannot be collected every period as a result of lack of re- sources or cut in funding+ Instead, these panels are collected over unequally spaced time intervals+ For example, a panel of ...
10
A Class of Robust Tests in Augmented Predictive Regressions
... to augmented regressions, extending existing literature and clarifying some important ...for augmented (and non-augmented) regressions which renders valid inference in the empirical ...
38
Model Averaging in Predictive Regressions
... popular model averaging approach is the simple equal-weighted ...subset regressions. They construct the forecast combination by using equal-weighted combination based on all possible models that keep ...
36
Model Averaging in Predictive Regressions
... frequentist model averag- ing criterion, an asymptotically unbiased estimator of the mean squared forecast error (MSFE), to select forecast ...Mallows model averaging, and jackknife model ...
36
Jackknife Model Averaging for Quantile Regressions
... for model averaging is to address the problem of model uncertainty for ...for using model averaging for the purpose of ...the model that generates the data belongs to the class of ...
47
Jackknife model averaging for quantile regressions
... for model averaging is to address the problem of model uncertainty for ...for using model averaging for the purpose of ...the model that generates the data belongs to the class of ...
46
3D Model Generation for Education Using Augmented Reality
... an Augmented Reality application that works using a ...image using a ...3D model is generated. After the model is superimposed on the real world view of the smartphone screen, various ...
6
Exploring the Priced Factors in ICAPM in Japan
... Received May 7, 2011; revised July 1, 2011; accepted July 10, 2011 Abstract This paper investigates the priced factors in the Intertemporal Capital Asset Pricing Model (ICAPM) in the Tokyo Stock Exchange ...
5
Conditioned Export Led Growth Hypothesis: A Panel Threshold Regressions Approach
... Conditioned Export-Led Growth Hypothesis: A Panel Threshold Regressions Approach. Galimberti, Jaqueson K[r] ...
29
Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions
... It is well known in the statistics and econometrics literature that standardizing an LM test improves its performance especially if asymptotic critical values are used. Moulton and Randolph (1989) emphasized this for the ...
26