Time Series versus Cross-Section or Panel
Longitudinal (Panel and Time Series Cross-Section) Data
... Having said that, let us assume that Equation 1 represents our social science! Non-spherical errors It is unlikely that cross-national panel errors will meet the assumption of sphericality. The usual OLS ...
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Time-Series Cross-Section Methods
... Cross-validation is useful for finding whether one (or a small number) of units should be excluded from the regression. We may also suspect that different units follow different regimes. Thus the older West ...
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The Time Series of the Cross Section of Asset Prices
... There is an important aspect of the ideas advanced in this paper that we intend to tackle in future research. Our set up is one that allows for a full specification of the conditional moments of financial variables, ...
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Analysis of a cross section of time series using structural time series models
... If the initial differences between the trend and seasonal components in model (1.3) are defined as random with a proper distribution, the estimates of the state [r] ...
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The Cross-Section and Time-Series of Stock and Bond Returns
... the cross-section of stock ...that time variation in equity risk premia is important for understanding the cross-sectional variation in size and industry equity portfolios, and that interest ...
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Random Coefficient Models for Time-Series–Cross-Section Data
... a series of estimates of γ which have modes larger then the true value of ...the time this yields a negative estimate for γ, which makes no sense (γ is a ...
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The construction and interpretation of combined cross-section and time-series inequality datasets
... of cross-country inequality benefits from, but is also limited by, the heterogeneity and vast amount of available ...same series may seriously affect inequality levels and time ...single time ...
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Combining time series and cross-section data in simultaneous linear equations
... of exactly identified systems we obtain estimates n of reduced-form parameters n by ordinary least squares method and then solve the equations like.. -e[r] ...
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Econometric Analysis of Cross Section and Panel Data
... same time emphasizing that assumptions concerning the underlying population and the method of sampling need to be carefully considered in applying any econo- metric ...
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A Bayesian analysis of exogeneity in models pooling time-series and cross-section data
... The definition of woak exogeneity given in the previous subsection was based on four different types of Bayesian cuts. This subsection will in- vestigate which type of cut is called for [r] ...
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What to Do about Missing Values in Time-Series Cross-Section Data
... the time-series cross- section data structures common in these ...smooth time trends, shifts across cross-sectional units, and correlations over time and space, resulting ...
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Immigration, socio-economic conditions and crime: a cross-sectional versus cross-sectional time-series perspective
... a cross-sectional and a longitudinal analysis, the latter including an ...The cross-sectional analysis findings show that crime intensities are affected by time-invariant factors and marginally by ...
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Cointegration in Panel Data with Breaks and Cross-Section Dependence
... The theory of cointegration establishes that there exist linear combinations of integrated variables that cancel out common stochastic trends. This phenomenon gives rise to equilibrium relationships among integrated ...
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Cointegration in panel data with breaks and cross-section dependence
... The theory of cointegration establishes that there exist linear combinations of integrated variables that cancel out common stochastic trends. This phenomenon gives rise to equilibrium relationships among integrated ...
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Explaining Fixed Effects: Random Effects modelling of Time-Series Cross-Sectional and Panel Data
... Plu¨mper and Troeger also attempt to estimate the effects of ‘rarely changing’ variables, and their desire to do so using FE modeling suggests that they do not fully appreciate the difference between within and between ...
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Unobserved heterogeneity in panel time series models
... T panel literature has emphasized unobserved, time-varying heterogeneity that may stem from omitted common variables or global shocks that a¤ect each individual unit ...induce cross-section ...
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Space and Time in Comparative Political Research. Pooled Time-series Cross-section Analysis and Multilevel Designs Compared
... over time the mean of the residuals is not constant over time either, which violates the Gauss- Markov-assumption for the execution of ...over time (Kittel 1999: ...
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Another look at the cross-section and time-series of stock returns: 1951 to 2011: Working paper series--13-01
... Cross-sectional tests Table 6 reports the Fama and MacBeth (1973) two-pass OLS regressions with 120 portfolios as the test assets in the same fashion as Table 4. The results for the whole sample period as well as ...
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Import Elasticity with Government Intervention: A Time Series Cross Section Analysis of Seventy-Two Countries
... These results suggest in the case of wheat that as a country's relative net import share in world trade (NRCA) of wheat increases, the direct price elasticity increa[r] ...
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Cross section dependence in nonstationary panel models: a novel estimator
... and cross-section dependence on estimation and inference in macro panel ...standard panel estimators with that of our own two-step method (the AMG) and the Pesaran Common Correlated Effects ...
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