A James-Stein-type adjustment to bias correction in fixed effects panel models

2021 ◽  
pp. 1-19
Author(s):  
Dalia Ghanem
Keyword(s):  
Bias Correction ◽  
Fixed Effects ◽  
Panel Models

Fitting partially linear functional-coefficient panel-data models with Stata

2020 ◽  
Vol 20 (4) ◽  
pp. 976-998
Author(s):  
Kerui Du ◽  
Yonghui Zhang ◽  
Qiankun Zhou
Keyword(s):  
Monte Carlo ◽  
Panel Data ◽  
Fixed Effects ◽  
Linear Functional ◽  
Semiparametric Estimation ◽  
Data Models ◽  
Panel Data Models ◽  
Panel Models ◽  
Partially Linear ◽  
Functional Coefficient

In this article, we describe the implementation of fitting partially linear functional-coefficient panel models with fixed effects proposed by An, Hsiao, and Li [2016, Semiparametric estimation of partially linear varying coefficient panel data models in Essays in Honor of Aman Ullah ( Advances in Econometrics, Volume 36)] and Zhang and Zhou (Forthcoming, Econometric Reviews). Three new commands xtplfc, ivxtplfc, and xtdplfc are introduced and illustrated through Monte Carlo simulations to exemplify the effectiveness of these estimators.

scholarly journals Profitability Determinants of Big European Banks

2021 ◽  
Vol 10 (2) ◽  
pp. 39-56
Author(s):  
Vesna Karadžić ◽  
Nikola Đalović
Keyword(s):  
Fixed Effects ◽  
Negative Impact ◽  
Ordinary Least Squares ◽  
Annual Data ◽  
The European Union ◽  
Macroeconomic Factors ◽  
Panel Models ◽  
Econometric Methods ◽  
Gdp Growth Rate ◽  
The Impact

Abstract The subject of research in this paper is the profitability of the biggest banks in the European financial market, some of which operate in Montenegro. The profitability of banks is influenced by a large number of factors, including internal banking and external macroeconomic factors. The aim of this paper is to use statistical and econometric methods to examine which factors and with what intensity affect the profitability of large banks in Europe. The empirical analysis used highly balanced panel models with annual data on 47 large banks from 14 European countries over the period 2013-2018. Three static panel models were estimated and evaluated (pooled ordinary least squares, model with fixed effects and model with random effects), as well as dynamic model utilizing general methods of moments. The POLS model was chosen as the best, confirming that all macroeconomic factors have a statistically significant impact on the profitability of big banks, while the impact of internal factors, which are controlled by the bank’s management, is not significant. GDP growth rate, inflation rate and market concentration have a positive effect on profitability, while the membership of the European Union has a negative impact on profit, meaning that banks with headquarters outside the EU are more profitable.

EXPRESS: Handling Endogenous Regressors using Copulas: A Generalization to Linear Panel Models with Fixed Effects and Correlated Regressors

2021 ◽  
pp. 002224372110708
Author(s):  
Rouven E. Haschka
Keyword(s):  
Fixed Effects ◽  
Estimation Method ◽  
Copula Function ◽  
Small Time ◽  
Joint Estimation ◽  
Gaussian Copula ◽  
Correlated Errors ◽  
Finite Sample ◽  
Panel Models ◽  
Endogenous Regressors

This paper proposes a panel data generalization for a recently suggested IVfree estimation method that builds on joint estimation. The author shows how the method can be extended to linear panel models by combining fixed-effects transformations with the common GLS transformation to allow for heterogeneous intercepts. To account for between-regressor dependence, the author proposes determining the joint distribution of the error term and all explanatory variables using a Gaussian copula function, with the distinction that some variables are endogenous and the others are exogenous. The identification does not require any instrumental variables if the regressor-error relation is nonlinear. With a normally distributed error, nonnormally distributed endogenous regressors are therefore required. Monte Carlo simulations assess the finite sample performance of the proposed estimator and demonstrate its superiority to conventional instrumental variable estimation. A specific advantage of the proposed method is that the estimator is unbiased in dynamic panel models with small time dimensions and serially correlated errors; therefore, it is a useful alternative to GMM-style instrumentation. The practical applicability of the proposed method is demonstrated via an empirical example.

scholarly journals Corrigendum

2018 ◽  
Vol 4 ◽  
pp. 237802311875450
Keyword(s):  
Maximum Likelihood ◽  
Fixed Effects ◽  
The Other ◽  
Sociological Research ◽  
Panel Models ◽  
The Right

Allison, Paul D., Richard Williams, and Enrique Moral-Benito. 2017. “Maximum Likelihood for Cross-lagged Panel Models with Fixed Effects.” Socius: Sociological Research for a Dynamic World 3:1–17. (Original DOI: 10.1177/2378023117710578) In this article, there is an error in the R code shown on pp. 15–16, such that the code displayed there produces noticeably different results from those of the other three packages. The authors have prepared a revised R code that does produce the right results, and have included it below as well as online at https://www3.nd.edu/~rwilliam/dynamic/lav_Socius.R .

Testing for Serial Correlation in Fixed-effects Panel Models

2018 ◽  
Vol 18 (1) ◽  
pp. 76-100 ◽  
Author(s):  
Jesse Wursten
Keyword(s):  
Fixed Effects ◽  
Serial Correlation ◽  
Panel Models ◽  
First Order ◽  
Fixed Effects Models ◽  
Correlation Tests

Current serial correlation tests for panel models are cumbersome to use, not suited for fixed-effects models, or limited to first-order autocorrelation. To fill this gap, I implement three recently developed tests.

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