Výsledky vyhledávání - "Hugo Kruiniger"

Identification without assuming mean stationarity: quasi–maximum likelihood estimation of dynamic panel models with endogenous regressors

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

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Uniform Quasi ML Based Inference for the Panel AR(1) Model

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

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A Further Look at Modified ML Estimation of the Panel AR(1) Model with Fixed Effects and Arbitrary Initial Conditions. (Newer Version)

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

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Fixed Effects versus Random Effects Estimation of Dynamic Panel Data Models

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

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GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA

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

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Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model

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

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Quasi ML Estimation of the Panel AR(1) Model with Additional Regressors

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

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A Further Look at Modified ML Estimation of the Panel AR(1) Model with Fixed Effects and Arbitrary Initial Conditions

Autor: Hugo Kruiniger

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ac523c3ea78280b31f42b8a972576e0f
https://doi.org/10.2139/ssrn.2559784

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On the solution of the linear rational expectations model with multiple lags

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

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Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions

Autor: Hugo Kruiniger

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions and possibly time-series heteroskedasticity

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c63cab697bd4e5a5f3861a9ce4ab7c0
http://www.econ.qmul.ac.uk/media/econ/research/workingpapers/archive/wp582.pdf

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