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 X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION

2013 ◽  
Vol 30 (1) ◽  
pp. 201-251 ◽  
Author(s):  
Chirok Han ◽  
Peter C. B. Phillips ◽  
Donggyu Sul
Keyword(s):  
Time Series ◽  
Least Squares ◽  
Limit Distribution ◽  
Fixed Effects ◽  
Generalized Method Of Moments ◽  
Estimation Method ◽  
Estimation Methods ◽  
Finite Sample ◽  
Dynamic Panel ◽  
Dynamic Panel Model

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near unity. The resulting “panel fully aggregated” estimator (PFAE) is obtained by pooled least squares on the system of X-differenced equations. The method is simple to implement, consistent for all parameter values, including unit root cases, and has strong asymptotic and finite sample performance characteristics that dominate other procedures, such as bias corrected least squares, generalized method of moments (GMM), and system GMM methods. The asymptotic theory holds as long as the cross section (n) or time series (T) sample size is large, regardless of then/Tratio, which makes the approach appealing for practical work. In the time series AR(1) case (n= 1), the FAE estimator has a limit distribution with smaller bias and variance than the maximum likelihood estimator (MLE) when the autoregressive coefficient is at or near unity and the same limit distribution as the MLE in the stationary case, so the advantages of the approach continue to hold for fixed and even smalln. Some simulation results are reported, giving comparisons with other dynamic panel estimation methods.

Identification without assuming mean stationarity: Quasi ML estimation of dynamic panel models with endogenous regressors

2020 ◽  
Author(s):  
Hugo Kruiniger
Keyword(s):  
Fixed Effects ◽  
Control Function ◽  
Limited Information ◽  
Dynamic Panel ◽  
Ml Estimation ◽  
Panel Models ◽  
Endogenous Regressors ◽  
Model Residuals ◽  
Stationarity Conditions ◽  
Dynamic Panel Models

Abstract Linear GMM estimators for dynamic panel models with predetermined or endogenous regressors suffer from a weak instruments problem when the data are highly persistent. In this paper we propose new random and fixed effects Limited Information Quasi ML estimators (LIQMLEs) for such models. We also discuss LIQMLEs for models that contain time-varying individual effects. Unlike System GMM estimators, the LIQMLEs do not require mean stationarity conditions for consistency. Such conditions often do not hold for the models we consider. Our LIQMLEs are based on a two-step control function approach that includes the first stage model residuals for a predetermined or endogenous regressor in the outcome equation. The LIMLEs are more precise than non-linear GMM estimators that are based on the original outcome equation. The LIQMLEs also compare favourably to various alternative (Q)MLEs in terms of precision, robustness and/or ease of computation.

JOINT ESTIMATION OF THE TRANSMISSIBILITY AND SEVERITY OF EBOLA VIRUS DISEASE IN REAL TIME

2017 ◽  
Vol 25 (04) ◽  
pp. 587-603 ◽  
Author(s):  
YUSUKE ASAI ◽  
HIROSHI NISHIURA
Keyword(s):  
Real Time ◽  
Ebola Virus ◽  
Virus Disease ◽  
Critical Role ◽  
Estimation Method ◽  
Case Fatality ◽  
Ascertainment Bias ◽  
Joint Estimation ◽  
Ebola Virus Disease ◽  
Strong Impact

The effective reproduction number [Formula: see text], the average number of secondary cases that are generated by a single primary case at calendar time [Formula: see text], plays a critical role in interpreting the temporal transmission dynamics of an infectious disease epidemic, while the case fatality risk (CFR) is an indispensable measure of the severity of disease. In many instances, [Formula: see text] is estimated using the reported number of cases (i.e., the incidence data), but such report often does not arrive on time, and moreover, the rate of diagnosis could change as a function of time, especially if we handle diseases that involve substantial number of asymptomatic and mild infections and large outbreaks that go beyond the local capacity of reporting. In addition, CFR is well known to be prone to ascertainment bias, often erroneously overestimated. In this paper, we propose a joint estimation method of [Formula: see text] and CFR of Ebola virus disease (EVD), analyzing the early epidemic data of EVD from March to October 2014 and addressing the ascertainment bias in real time. To assess the reliability of the proposed method, coverage probabilities were computed. When ascertainment effort plays a role in interpreting the epidemiological dynamics, it is useful to analyze not only reported (confirmed or suspected) cases, but also the temporal distribution of deceased individuals to avoid any strong impact of time dependent changes in diagnosis and reporting.

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 Joint Modeling of Precipitation and Temperature Using Copula Theory for Current and Future Prediction under Climate Change Scenarios in Arid Lands (Case Study, Kerman Province, Iran)

2019 ◽  
Vol 2019 ◽  
pp. 1-15 ◽  
Author(s):  
T. Mesbahzadeh ◽  
M. M. Miglietta ◽  
M. Mirakbari ◽  
F. Soleimani Sardoo ◽  
M. Abdolhoseini
Keyword(s):  
Climate Change ◽  
Goodness Of Fit ◽  
Joint Modeling ◽  
Copula Function ◽  
Gaussian Copula ◽  
Climate Change Scenarios ◽  
Climatic Parameters ◽  
Goodness Of Fit Test ◽  
Copula Theory ◽  
Precipitation And Temperature

Precipitation and temperature are very important climatic parameters as their changes may affect life conditions. Therefore, predicting temporal trends of precipitation and temperature is very useful for societal and urban planning. In this research, in order to study the future trends in precipitation and temperature, we have applied scenarios of the fifth assessment report of IPCC. The results suggest that both parameters will be increasing in the studied area (Iran) in future. Since there is interdependence between these two climatic parameters, the independent analysis of the two fields will generate errors in the interpretation of model simulations. Therefore, in this study, copula theory was used for joint modeling of precipitation and temperature under climate change scenarios. By the joint distribution, we can find the structure of interdependence of precipitation and temperature in current and future under climate change conditions, which can assist in the risk assessment of extreme hydrological and meteorological events. Based on the results of goodness of fit test, the Frank copula function was selected for modeling of recorded and constructed data under RCP2.6 scenario and the Gaussian copula function was used for joint modeling of the constructed data under the RCP4.5 and RCP8.5 scenarios.

scholarly journals Fast Estimation Method of Space-Time Two-Dimensional Positioning Parameters Based on Hadamard Product

2018 ◽  
Vol 2018 ◽  
pp. 1-9 ◽  
Author(s):  
Haiwen Li ◽  
Nae Zheng ◽  
Xiyu Song ◽  
Yinghua Tian
Keyword(s):  
Frequency Domain ◽  
Orthogonal Frequency Division Multiplexing ◽  
Hadamard Product ◽  
Estimation Method ◽  
Space Time ◽  
Joint Estimation ◽  
Two Dimensional ◽  
Music Algorithm ◽  
Fast Estimation ◽  
Response Vector

The estimation speed of positioning parameters determines the effectiveness of the positioning system. The time of arrival (TOA) and direction of arrival (DOA) parameters can be estimated by the space-time two-dimensional multiple signal classification (2D-MUSIC) algorithm for array antenna. However, this algorithm needs much time to complete the two-dimensional pseudo spectral peak search, which makes it difficult to apply in practice. Aiming at solving this problem, a fast estimation method of space-time two-dimensional positioning parameters based on Hadamard product is proposed in orthogonal frequency division multiplexing (OFDM) system, and the Cramer-Rao bound (CRB) is also presented. Firstly, according to the channel frequency domain response vector of each array, the channel frequency domain estimation vector is constructed using the Hadamard product form containing location information. Then, the autocorrelation matrix of the channel response vector for the extended array element in frequency domain and the noise subspace are calculated successively. Finally, by combining the closed-form solution and parameter pairing, the fast joint estimation for time delay and arrival direction is accomplished. The theoretical analysis and simulation results show that the proposed algorithm can significantly reduce the computational complexity and guarantee that the estimation accuracy is not only better than estimating signal parameters via rotational invariance techniques (ESPRIT) algorithm and 2D matrix pencil (MP) algorithm but also close to 2D-MUSIC algorithm. Moreover, the proposed algorithm also has certain adaptability to multipath environment and effectively improves the ability of fast acquisition of location parameters.

scholarly journals TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS

2013 ◽  
Vol 29 (6) ◽  
pp. 1079-1135 ◽  
Author(s):  
Liangjun Su ◽  
Qihui Chen
Keyword(s):  
Panel Data ◽  
Fixed Effects ◽  
Data Models ◽  
Development Economic ◽  
Strong Mixing ◽  
Panel Data Models ◽  
Finite Sample ◽  
Test Statistic ◽  
Lm Test ◽  
Interactive Fixed Effects

This paper proposes a residual-based Lagrange Multiplier (LM) test for slope homogeneity in large-dimensional panel data models with interactive fixed effects. We first run the panel regression under the null to obtain the restricted residuals and then use them to construct our LM test statistic. We show that after being appropriately centered and scaled, our test statistic is asymptotically normally distributed under the null and a sequence of Pitman local alternatives. The asymptotic distributional theories are established under fairly general conditions that allow for both lagged dependent variables and conditional heteroskedasticity of unknown form by relying on the concept of conditional strong mixing. To improve the finite-sample performance of the test, we also propose a bootstrap procedure to obtain the bootstrap p-values and justify its validity. Monte Carlo simulations suggest that the test has correct size and satisfactory power. We apply our test to study the Organization for Economic Cooperation and Development economic growth model.

Joint estimation of multiple high-dimensional Gaussian copula graphical models

2017 ◽  
Vol 59 (3) ◽  
pp. 289-310 ◽  
Author(s):  
Yong He ◽  
Xinsheng Zhang ◽  
Jiadong Ji ◽  
Bin Liu
Keyword(s):  
Graphical Models ◽  
Joint Estimation ◽  
Gaussian Copula ◽  
High Dimensional
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