Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Conditional Maximum Likelihood Estimation Of Dynamic Panel Data Models full books in PDF, epub, and Kindle. Read online Conditional Maximum Likelihood Estimation Of Dynamic Panel Data Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (247 download)
Download or read book Conditional maximum likelihood estimation of dynamic panel data models written by Hugo Kruiniger and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects written by Hugo Kruiniger and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers inference procedures for two types of dynamic linear panel data models with fixed effects (FE). First, it shows that the closures of stationary ARMAFE models can be consistently estimated by Conditional Maximum Likelihood Estimators and it derives their asymptotic distributions. Then it presents an asymptotically equivalent Minimum Distance Estimator which permits an analytic comparison between the CMLE for the ARFE (1) model and the GMM estimators that have been considered in the literature. The CMLE is shown to be asymptotically less efficient than the most efficient GMM estimator when N approaches the limit infinity but T is fixed. Under normality some of the moment conditions become asymptotically redundant and the CMLE attains the Cramer-Rao lowerbound when T approaches the limit infinity as well. The paper also presents likelihood based unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel data models that condition on the initial observations are studied and compared. It is shown that for finite T the MMLE is less efficient than the most efficient GMM estimator.
Author : Maurice J. G. Bun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book On Maximum Likelihood Estimation of Dynamic Panel Data Models written by Maurice J. G. Bun and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular, we consider transformed maximum likelihood (TML) and random effects maximum likelihood (RML) estimation. We show that TML and RML estimators are solutions to a cubic first-order condition in the autoregressive parameter. Furthermore, in finite samples both likelihood estimators might lead to a negative estimate of the variance of the individual-specific effects. We consider different approaches taking into account the non-negativity restriction for the variance. We show that these approaches may lead to a solution different from the unique global unconstrained maximum. In an extensive Monte Carlo study we find that this issue is non-negligible for small values of T and that different approaches might lead to different finite sample properties. Furthermore, we find that the Likelihood Ratio statistic provides size control in small samples, albeit with low power due to the flatness of the log-likelihood function. We illustrate these issues modelling US state level unemployment dynamics.
Author : Francesco Bartolucci
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pseudo Conditional Maximum Likelihood Estimation of the Dynamic Logit Model for Binary Panel Data written by Francesco Bartolucci and published by . This book was released on 2010 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show how the dynamic logit model for binary panel data may be approximated by a quadratic exponential model. Under the approximating model, simple sufficient statistics exist for the subject-specific parameters introduced to capture the unobserved heterogeneity between subjects. The latter must be distinguished from the state dependence which is accounted for by including the lagged response variable among the regressors. By conditioning on the sufficient statistics, we derive a pseudo conditional likelihood estimator for the structural parameters of the dynamic logit model which is very simple to compute. Asymptotic properties of this estimator are derived. Simulation results show that the estimator is competitive in terms of efficiency with estimators very recently proposed in the econometric literature. We also show how the approach may be exploited to construct a Wald-type test for state dependence.
Author : Zhen Ma
Publisher :
ISBN 13 : 9781267684585
Total Pages : 114 pages
Book Rating : 4.6/5 (845 download)
Download or read book A Summary of Some Estimators of Dynamic Panel Data Models and Their Applications written by Zhen Ma and published by . This book was released on 2012 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of two chapters. Chapter one summarizes three estimators of dynamic panel data models: Generalized Method of Moments (GMM) with fixed effects, Wooldridge Conditional Maximum Likelihood (CML) with random effects and a Maximum Simulated Likelihood (MSL) random effects dynamic probit. Chapter two presents their applications and empirical findings. I examine the impact of the large price increases in cigarettes after the Master Settlement Agreement (MSA) on drinking behavior using data from the Panel Study of Income Dynamics (PSID). Alcohol consumption, drinking participation and heavy drinking participation (three or more drinks per day) are considered for the full sample, as well as for sub-samples stratified by age group and gender. Estimation results are relatively stable across estimators. I find that the cross-price effects of cigarettes on alcohol consumption are insignificant showing that averaging on all consumption levels, the number of drinks consumed per day is not affected by the increases in cigarette prices; and that the cross-price effects of cigarettes on drinking participation are mostly positive and significant, indicating drinking is an economic substitute for smoking; also, cigarette prices do not affect heavy drinking prevalence.
Author : Chung-Jung Lee
Publisher :
ISBN 13 :
Total Pages : 404 pages
Book Rating : 4.3/5 (129 download)
Download or read book Dynamic Unobserved Effects Model for Continuous and Binary Response written by Chung-Jung Lee and published by . This book was released on 2000 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : H. Cheng
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (246 download)
Download or read book Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods written by H. Cheng and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Gould
Publisher : Stata Press
ISBN 13 : 9781597180788
Total Pages : 352 pages
Book Rating : 4.1/5 (87 download)
Download or read book Maximum Likelihood Estimation with Stata, Fourth Edition written by William Gould and published by Stata Press. This book was released on 2010-10-27 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maximum Likelihood Estimation with Stata, Fourth Edition is written for researchers in all disciplines who need to compute maximum likelihood estimators that are not available as prepackaged routines. Readers are presumed to be familiar with Stata, but no special programming skills are assumed except in the last few chapters, which detail how to add a new estimation command to Stata. The book begins with an introduction to the theory of maximum likelihood estimation with particular attention on the practical implications for applied work. Individual chapters then describe in detail each of the four types of likelihood evaluator programs and provide numerous examples, such as logit and probit regression, Weibull regression, random-effects linear regression, and the Cox proportional hazards model. Later chapters and appendixes provide additional details about the ml command, provide checklists to follow when writing evaluators, and show how to write your own estimation commands.
Author : Marc Nerlove
Publisher : Cambridge University Press
ISBN 13 : 9780521022460
Total Pages : 388 pages
Book Rating : 4.0/5 (224 download)
Download or read book Essays in Panel Data Econometrics written by Marc Nerlove and published by Cambridge University Press. This book was released on 2005-11-10 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.
Author : University of Guelph. Department of Economics Resource and Environmental Economy
Publisher :
ISBN 13 : 9780612949881
Total Pages : 94 pages
Book Rating : 4.9/5 (498 download)
Download or read book Empirical Likelihood Estimation of Dynamic Panel Data Models written by University of Guelph. Department of Economics Resource and Environmental Economy and published by . This book was released on 2005 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wilhelm F. Kempf
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (773 download)
Download or read book Conditional Maximum Likelihood Estimation for a Dynamic Test Model written by Wilhelm F. Kempf and published by . This book was released on 1975 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (118 download)
Download or read book Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effect written by Hugo Kruiniger and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gareth Thomas
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (75 download)
Download or read book Maximum Likelihood Based Estimation of Dynamic Panel Data written by Gareth Thomas and published by . This book was released on 2005 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (248 download)
Download or read book Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects written by Hugo Kruiniger and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exact Maximum Likelihood Estimation of Observation-driven Econometric Models written by Francis X. Diebold and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We find that, especially in situations of small samples and high persistence, efficiency gains are obtained. We conclude with a discussion of directions for future research, including application of our methods to panel data models.
Author : Wladimir Raymond
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (145 download)
Download or read book The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models written by Wladimir Raymond and published by . This book was released on 2007 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
