Arbeitspapier
Estimation methods in panel data models with observed and unobserved components: A Monte Carlo study
Recently some new techniques have been proposed for the estimation of the slope coefficients in presence of unobserved components. Though, the presence of common observed and unobserved factors is neither considered or the estimation of their impacts is not taken into account. In this work a range of estimators is surveyed and their finite-sample properties are examined by means of Monte Carlo experiments. We consider both the properties of estimators for the individual specific components and for the observed common effects.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni di Dipartimento - EPMQ ; No. 211
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Thema
-
factor error structure
principal component
common regressors
cross-section dependence
large panels
Monte Carlo simulations
Faktorenanalyse
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Castagnetti, Carolina
Rossi, Eduardo
- Ereignis
-
Veröffentlichung
- (wer)
-
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
- (wo)
-
Pavia
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Castagnetti, Carolina
- Rossi, Eduardo
- Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
Entstanden
- 2008
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