scholarly journals Multivariate General Spatial Three-Stage Least Squares Fixed Effect Panel Simultaneous Models and Estimation of Their Parameters

2020 ◽  
Vol 19 ◽  
Keyword(s):  
Least Squares ◽  
Numerical Approximation ◽  
Generalized Least Squares ◽  
Simultaneous Equation ◽  
Fixed Effect ◽  
Log Likelihood ◽  
New Models ◽  
Spatial Autoregressive ◽  
Three Stage Least Squares ◽  
Simultaneous Equation Models

Simultaneous equation models describe a two-way flow of influence among variables. Simultaneous equation models using panel data, especially for fixed effect where there are spatial autoregressive and spatial errors with exact solutions, still require to be developed. In this paper, we develop the new models that it consist of spatial autoregressive and spatial errors. We call it as general spatial. This paper proposes feasible generalized least squares-three-stage least squares (FGLS-3SLS) to find all the estimators with exact solution and the numerical approximation estimators by concentrated log-likelihood formulation with method of forming sequence. All proposed estimators especially for closed-form estimators are proved to be consistent.

scholarly journals The IPO initial returns-aftermarket risk question revisited: evidence from firms in Taiwan

2019 ◽  
Vol 16 (2) ◽  
pp. 14-24
Author(s):  
Fong-Yi Shen ◽  
Yeong-Jia Goo
Keyword(s):  
Corporate Governance ◽  
Least Squares ◽  
Equation System ◽  
Simultaneous Equation ◽  
Reduced Form ◽  
Structural Form ◽  
Exogenous Variables ◽  
Endogenous Variables ◽  
Simultaneous Equation Estimation ◽  
Three Stage Least Squares

The purpose of this study is to utilize the Three Stage Least Squares (3SLS) of the simultaneous equation estimation approach to revisit the possible cross relationship between IPO initial returns and aftermarket risk. A structural form equation system of IPO initial returns and aftermarket risk equations is estimated first to obtain the structural form coefficients. The analytically derived reduced form coefficients are then calculated to analyze the net effects of each exogenous variable on two endogenous variables. Major findings of this study are as follows. First, the signs of net effects of all exogenous variables on IPO initial returns and aftermarket risk are the same. In other words, any change in exogenous variables, IPO initial returns and IPO aftermarket risk will change in the same direction, i.e., the higher (lower) the IPO initial returns, the higher (lower) the IPO aftermarket risk. Second, the less the degree of corporate governance, the higher the IPO initial returns and aftermarket risk. Third, the higher the market risk or return before IPO, the higher the IPO initial returns and aftermarket risk.

MULTIVARIATE THREE-STAGE LEAST SQUARES FIXED EFFECT PANEL SIMULTANEOUS MODELS AND ESTIMATION OF THEIR PARAMETERS

2017 ◽  
Vol 102 (7) ◽  
pp. 1503-1521
Author(s):  
Timbang Sirait ◽  
I Made Sumertajaya ◽  
I Wayan Mangku ◽  
Abuzar Asra ◽  
Hermanto Siregar
Keyword(s):  
Least Squares ◽  
Fixed Effect ◽  
Three Stage Least Squares

MULTIVARIATE SPATIAL ERROR THREE-STAGE LEAST SQUARES FIXED EFFECT PANEL: SIMULTANEOUS MODELS AND ESTIMATION OF THEIR PARAMETERS

2017 ◽  
Vol 102 (12) ◽  
pp. 2941-2970
Author(s):  
Timbang Sirait ◽  
I Made Sumertajaya ◽  
I Wayan Mangku ◽  
Abuzar Asra ◽  
Hermanto Siregar
Keyword(s):  
Least Squares ◽  
Fixed Effect ◽  
Spatial Error ◽  
Three Stage Least Squares
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