Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small

Autor: Bin Peng, Giovanni Forchini

Publikováno v: Forchini, G & Peng, B 2017, ' Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small ', Communications in Statistics-Theory and Methods, vol. 46, no. 24, pp. 12226-12239 . https://doi.org/10.1080/03610926.2017.1295156

Panel data models with factor structures in both the errors and the regressors have received considerable attention recently. In these models, the errors and the regressors are correlated and the standard estimators are inconsistent. This paper shows

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https://doi.org/10.1080/03610926.2017.1295156

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Relative efficiency of first difference estimator in panel data regression with serially correlated error components

Autor: Seuck Heun Song, Dietmar Stemann

Publikováno v: Statistical Papers. 40:185-198

We consider the pooled cross-sectional and time series regression model when the disturbances follow a serially correlated one-way error components. In this context we discovered that the first difference estimator for the regression coefficients is

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::48ab6eb0b27142fbc676c38c7fe9537c
https://doi.org/10.1007/bf02925517

A two-step first-difference estimator for a panel data Tobit model

Autor: Kalwij, A.S.

This study formulates an easy-to-use two-step first-difference estimator for a panel data Tobit model. In the first step a bivariate Probit is estimated, using all observations. These estimates are used to construct correction terms that are added to

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=narcis______::e102048d374d9e811c15165ac9dfb959
https://dare.uva.nl/personal/pure/en/publications/a-twostep-firstdifference-estimator-for-a-panel-data-tobit-model(d36feb3f-8d1e-4338-a28f-905d5cefbe14).html