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Empirical Likelihood Estimation Of Dynamic Panel Data Models
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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)
Book Synopsis Empirical Likelihood Estimation of Dynamic Panel Data Models by : University of Guelph. Department of Economics Resource and Environmental Economy
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 :Umut Mehmet Oguzoglu Publisher :Library and Archives Canada = Bibliothèque et Archives Canada ISBN 13 :9780494110683 Total Pages :94 pages Book Rating :4.1/5 (16 download)
Book Synopsis Empirical Likelihood Estimation of Dynamic Panel Data Model [microform] by : Umut Mehmet Oguzoglu
Download or read book Empirical Likelihood Estimation of Dynamic Panel Data Model [microform] written by Umut Mehmet Oguzoglu and published by Library and Archives Canada = Bibliothèque et Archives Canada. This book was released on 2005 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Dynamic Panel Data Estimation by : Gunce Eryuruk
Download or read book Three Essays on Dynamic Panel Data Estimation written by Gunce Eryuruk and published by . This book was released on 2009 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: system GMM estimator, highway spending, dynamic panel data, empirical likelihood estimator.
Book Synopsis Exact Maximum Likelihood Estimation of Observation-driven Econometric Models by : Francis X. Diebold
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.
Book Synopsis Conditional Maximum Likelihood Estimation of Dynamic Panel Data Models by : Hugo Kruiniger
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 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Maximum Likelihood Estimation of Dynamic Panel Data Models by : Maurice J. G. Bun
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 :Lászlo Mátyás Publisher :Advanced Studies in Theoretical and Applied Econometrics ISBN 13 : Total Pages :992 pages Book Rating :4.3/5 ( download)
Book Synopsis The Econometrics of Panel Data by : Lászlo Mátyás
Download or read book The Econometrics of Panel Data written by Lászlo Mátyás and published by Advanced Studies in Theoretical and Applied Econometrics. This book was released on 2008-04-25 with total page 992 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. This third edition provides a presentation of theoretical developments as well as surveys about how econometric tools are used to study firms and household's behaviors.
Book Synopsis Robust Likelihood Estimation Od Dynamic Panel Data Models by : Javier Alvarez
Download or read book Robust Likelihood Estimation Od Dynamic Panel Data Models written by Javier Alvarez and published by . This book was released on 2004 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Moment Condition Models in Empirical Economics by : Sara Maria de Almeida Duarte Lopes Riscado
Download or read book Moment Condition Models in Empirical Economics written by Sara Maria de Almeida Duarte Lopes Riscado and published by . This book was released on 2012 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter of this dissertation, we approach the estimation of dynamic stochastic general equilibrium models through a moments-based estimator, the empirical likelihood. We try to show that this inference process can be a valid alternative to maximum likelihood. The empirical likelihood estimator only requires knowledge about the moments of the data generating process of the model. In this context, we exploit the fact that these economies can be formulated as a set of moment conditions to infer on their parameters through this technique. For illustrational purposes, we consider the standard real business cycle model with a constant relative risk adverse utility function and indivisible labour, driven by a normal technology shock. In the second chapter, we explore further aspects of the estimation of dynamic stochastic general equilibrium models using the empirical likelihood family of estimators. In particular, we propose possible ways of tackling the main problems identified in the first chapter. These problems resume to: (i) the possible existence of dependence between the random variables; (ii) the definition of moment conditions in the dynamic stochastic general equilibrium models setup; (iii) the alternatives to the data generation process used in the first chapter. In the third chapter, we investigate the short run effects of macroeconomic and scal volatility on the decision of the policy maker on how much to consume and how much to invest. To that end, we analyse a panel of 10 EU countries during 1991-2007. Our results suggest that increases in the volatility of regularly collected and cyclical revenues such as the VAT and income taxes tend to tilt the expenditure composition in favour of public investment. In contrast, increases in the volatility of ad hoc-type of taxes such as capital taxes tend to favour public consumption spending, albeit only a little.
Book Synopsis Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross-Sectional Heteroskedasticity by : Kazuhiko Hayakawa
Download or read book Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross-Sectional Heteroskedasticity written by Kazuhiko Hayakawa and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach the problem by working with a mis-specified homoskedastic model. It is shown that the transformed maximum likelihood estimator continues to be consistent even in the presence of cross-sectional heteroskedasticity. We also obtain standard errors that are robust to cross-sectional heteroskedasticity of unknown form. By means of Monte Carlo simulation, we investigate the finite sample behavior of the transformed maximum likelihood estimator and compare it with various GMM estimators proposed in the literature. Simulation results reveal that, in terms of median absolute errors and accuracy of inference, the transformed likelihood estimator outperforms the GMM estimators in almost all cases.
Book Synopsis Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects by : Hugo Kruiniger
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 2000 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects by : Hugo Kruiniger
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:
Book Synopsis Econometric Analysis of Panel Data by : Badi Baltagi
Download or read book Econometric Analysis of Panel Data written by Badi Baltagi and published by John Wiley & Sons. This book was released on 2008-06-30 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.
Book Synopsis Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effect by : Hugo Kruiniger
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:
Book Synopsis Panel Data Econometrics with R by : Yves Croissant
Download or read book Panel Data Econometrics with R written by Yves Croissant and published by John Wiley & Sons. This book was released on 2018-08-10 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Book Synopsis The Oxford Handbook of Panel Data by : Badi Hani Baltagi
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
Book Synopsis A Summary of Some Estimators of Dynamic Panel Data Models and Their Applications by : Zhen Ma
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.
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