Zobrazeno 1 - 10
of 90
pro vyhledávání: '"Hugo Kruiniger"'
Autor:
Hugo Kruiniger
Publikováno v:
The Econometrics Journal. 24:417-441
Summary Linear generalised method of moments (GMM) estimators for dynamic panel models with predetermined or endogenous regressors suffer from a weak instruments problem when the data are highly persistent. In this paper, we propose new random- and f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::83ea23ba5ba56f2529979331022cd431
https://doi.org/10.1093/ectj/utaa036
https://doi.org/10.1093/ectj/utaa036
Autor:
Hugo Kruiniger
Publikováno v:
SSRN Electronic Journal.
This paper proposes new inference methods for panel AR models with arbitrary initial conditions and heteroskedasticity and possibly additional regressors that are robust to the strength of identification. Specifically, we consider several Maximum Lik
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06ebfa5c305141aa75cc9eae4c8aa90e
https://doi.org/10.2139/ssrn.3234720
https://doi.org/10.2139/ssrn.3234720
Autor:
Hugo Kruiniger
Publikováno v:
SSRN Electronic Journal.
In this paper we consider two kinds of generalizations of Lancaster's (Review of Economic Studies, 2002) Modified ML estimator (MMLE) for the panel AR(1) model with fixed effects and arbitrary initial conditions and possibly covariates when the time
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::781952528e34d9312d4180a38add3230
https://doi.org/10.2139/ssrn.3186008
https://doi.org/10.2139/ssrn.3186008
Autor:
Hugo Kruiniger
Publikováno v:
SSRN Electronic Journal.
This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual effects to the variance of the idiosyncratic errors is large. First, we present a necessary condition for large N, fixed T consistency o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e8a7b60c75603253feac5ae0ed789242
https://doi.org/10.2139/ssrn.3013700
https://doi.org/10.2139/ssrn.3013700
Autor:
Hugo Kruiniger
Publikováno v:
Econometric Theory. 25:1348-1391
In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c33262930fbbfcfb6b4dd7ad61e2b396
https://doi.org/10.1017/s0266466608090531
https://doi.org/10.1017/s0266466608090531
Autor:
Hugo Kruiniger
Publikováno v:
Journal of Econometrics. 144:447-464
This paper considers Maximum Likelihood (ML) based estimation and inference procedures for linear dynamic panel data models with fixed effects. The paper first studies the asymptotic properties of MaCurdy’s [MaCurdy, T., 1982. The use of time serie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::644176ad2d7c1dd0b2682e7de1105fec
https://doi.org/10.1016/j.jeconom.2008.03.001
https://doi.org/10.1016/j.jeconom.2008.03.001
Autor:
Hugo Kruiniger
Publikováno v:
SSRN Electronic Journal.
In this paper we discuss limited information and full information random effects and fixed effects Quasi ML estimators for panel AR(1) models with additional regressors. We also consider related GMM estimators. The models allow for arbitrary initial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b8264366028fd9a611cfda852d99877f
https://doi.org/10.2139/ssrn.2692569
https://doi.org/10.2139/ssrn.2692569
Autor:
Hugo Kruiniger
Publikováno v:
SSRN Electronic Journal.
In this paper we consider two kinds of generalizations of Lancaster's (Review of Economic Studies, 2002) Modified ML estimator (MMLE) for the panel AR(1) model with fixed effects and arbitrary initial conditions and possibly covariates when the time
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ac523c3ea78280b31f42b8a972576e0f
https://doi.org/10.2139/ssrn.2559784
https://doi.org/10.2139/ssrn.2559784
Autor:
Hugo Kruiniger
Publikováno v:
Journal of Economic Dynamics and Control. 24:535-559
In this paper the symmetric linear rational expectations model from Kollintzas (1985) is generalized by allowing for multiple lags. By using a convenient decomposition of the matrix lag polynomial of the Euler–Lagrange equations that encompasses th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e835cab2ac000e8134b4f73ad6e740ba
https://doi.org/10.1016/s0165-1889(99)00006-8
https://doi.org/10.1016/s0165-1889(99)00006-8
AN EFFICIENT LINEAR GMM ESTIMATOR FOR THE COVARIANCE STATIONARY AR(1)UNIT ROOT MODEL FOR PANEL DATA.
Autor:
Hugo Kruiniger
Publikováno v:
Econometric Theory; Jun2007, Vol. 23 Issue 3, p519-535, 17p