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Finite Sample Econometrics

Aman Ullah

Published in print:
2004
Published Online:
August 2004
ISBN:
9780198774471
eISBN:
9780191601347
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198774478.001.0001
Subject:
Economics and Finance, Econometrics

This book presents a comprehensive and unified treatment of finite sample theory, and its application to estimators and test statistics used in various econometric models. Time series, cross section, ... More


Dividend Policy, Earnings, and Cash Flow: A Dynamic Panel Data Analysis

Luis Correia Da Silva, Marc Goergen, and Luc Renneboog

in Dividend Policy and Corporate Governance

Published in print:
2004
Published Online:
April 2004
ISBN:
9780199259304
eISBN:
9780191600852
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199259305.003.0006
Subject:
Economics and Finance, Financial Economics

Benefiting from recent advances in panel data estimation, the chapter estimates the Lintner model for German firms. The Lintner model is estimated using both cash flow data and published earnings ... More


Autoregressive Models With Individual Effects

Manuel Arellano

in Panel Data Econometrics

Published in print:
2003
Published Online:
July 2005
ISBN:
9780199245284
eISBN:
9780191602481
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199245282.003.0006
Subject:
Economics and Finance, Econometrics

This chapter discusses the specification and estimation of autoregressive models with individual specific intercepts. It focuses on first order processes, since the main insights generalise in a ... More


Large Heterogeneous Panel Data Models

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0028
Subject:
Economics and Finance, Econometrics

This chapter extends the analysis of panels to linear panel data models with slope heterogeneity. It discusses how neglecting such heterogeneities affect the consistency of the estimates and ... More


Cross-Sectional Dependence in Panels

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0029
Subject:
Economics and Finance, Econometrics

This chapter focuses on estimation and inference in the case of large N and T panel data models with a common factor error structure. It provides a synthesis of the alternative approaches proposed in ... More


Introduction

Aman Ullah

in Finite Sample Econometrics

Published in print:
2004
Published Online:
August 2004
ISBN:
9780198774471
eISBN:
9780191601347
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774478.003.0001
Subject:
Economics and Finance, Econometrics

This introductory chapter begins with a brief discussion on the importance of finite sample econometrics. The developments in this area are described. An overview of the chapters in this volume is ... More


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