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
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
principal component
common regressors
cross-section dependence
large panels
Monte Carlo simulations
Faktorenanalyse
Schätztheorie
Ereignis
Geistige Schöpfung
(wer)
Castagnetti, Carolina
Rossi, Eduardo
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
-
12.07.2024, 13:22 MESZ
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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