Author: Cheng HsiaoPublisher:
ISBN:
Category :
Languages : en
Pages : 27
Book Description
Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods
Author: Cheng HsiaoMaximum Likelihood Estimation of Fixed Effects Dynamic Data Models Covering Short Time Periods
Author: Cheng HsaioPublisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 46
Book Description
Maximum Likekihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods
Author: Hsiao ChengTransformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
Author: Kazuhiko HayakawaEssays on Dynamic Panel Threshold Models
Author: Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Chapter 1. Hansen (1999) introduced threshold estimation in non-dynamic panel threshold models. In this chapter we extend this previous work to allow dynamics in a panel data threshold model with individual fixed specific effects covering short time periods. We propose a maximum likelihood approach to estimate the structural parameters using a first difference transformation of a Dynamic Panel Threshold Model. We show the Maximum Likelihood estimation of the threshold parameter is consistent and converges to a double-sided standard Brownian motion distribution as in Hansen (2000), when the number of individuals grows to infinity for a fixed time period; and the Maximum Likelihood estimation of the slope parameters are consistent and converge to a normal distribution. Chapter 2. The super-neutrality of money hypothesis states that nominal variables do not affect real variables in the long-run. Nonetheless, Fischer (1993) found a negative relationship between inflation and economic growth, but Bruno and Easterly (1998) suggest that relationship is only present with high inflation periods. In this chapter we estimate a threshold level of inflation, above which inflation significantly slows growth; we estimate a dynamic panel threshold model. Using a sample of 72 countries and 8 periods of 5-year averages from 1961 to 2000, we found a threshold level of inflation at 13 percent, where inflation above this threshold has a negative effect on economic growth. In a model with a double threshold, we found two threshold levels of inflation at 13 and 39-42 percent, where that negative effect is stronger for inflation above 39-42 percent.
Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects
Author: Hugo KruinigerPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
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.
Maximum Likelihood Estimation with Stata, Fourth Edition
Author: William GouldPublisher: Stata Press
ISBN: 9781597180788
Category : Mathematics
Languages : en
Pages : 352
Book Description
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.
Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects
Author: Hugo KruinigerThe Econometrics of Panel Data
Author: Lászlo MátyásPublisher: Springer Science & Business Media
ISBN: 3540758925
Category : Business & Economics
Languages : en
Pages : 966
Book Description
This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
Author: Hugo Kruiniger