Search Results

Showing results 1 to 3 of approximately 3.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Panel data 

Working Paper
Estimating Dynamic Panel Data Models: A Practical Guide for Macroeconomists

We use a Monte Carlo approach to investigate the performance of several different methods designed to reduce the bias of the estimated coefficients for dynamic panel data models estimated with the longer, narrower panels typical of macro data. We find that the bias of the least squares dummy variable approach can be significant, even when the time dimension of the panel is as large as 30. For panels with small time dimensions, we find a corrected least squares dummy variable estimator to be the best choice. However, as the time dimension of the panel increases, the computationally simpler ...
Finance and Economics Discussion Series , Paper 1997-03

Working Paper
Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper features a large cross-sectional dimension N but short time series T. Due to the short T, traditional methods have difficulty in disentangling the heterogeneous parameters from the shocks, which contaminates the estimates of the heterogeneous parameters. To tackle this problem, I assume that there is an underlying distribution of heterogeneous parameters, ...
Finance and Economics Discussion Series , Paper 2018-036

Working Paper
Revealing Cluster Structures Based on Mixed Sampling Frequencies

This paper proposes a new nonparametric mixed data sampling (MIDAS) model and develops a framework to infer clusters in a panel regression with mixed frequency data. The nonparametric MIDAS estimation method is more flexible and substantially simpler to implement than competing approaches. We show that the proposed clustering algorithm successfully recovers true membership in the cross-section, both in theory and in simulations, without requiring prior knowledge of the number of clusters. This methodology is applied to a mixed-frequency Okun's law model for state-level data in the U.S. and ...
Finance and Economics Discussion Series , Paper 2020-082

FILTER BY year

FILTER BY Content Type

FILTER BY Author

Ahn, Hie Joo 1 items

Judson, Ruth 1 items

Liu, Laura 1 items

Liu, Yun 1 items

Owen, Ann L. 1 items

Rho, Yeonwoo 1 items

show more (1)

FILTER BY Jel Classification

C14 2 items

C53 2 items

C11 1 items

C23 1 items

C32 1 items

C33 1 items

show more (3)

PREVIOUS / NEXT