منابع مشابه
GMM for panel count data models
This chapter gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are central. Moment conditions are discussed for these type of problems that enable estimation of the parame...
متن کاملa new approach to credibility premium for zero-inflated poisson models for panel data
هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...
15 صفحه اولA Transformed System GMM Estimator for Dynamic Panel Data Models ∗
The system GMM estimator developed by Blundell and Bond (1998) for dynamic panel data models has been widely used in empirical work; however, it does not perform well with weak instruments. This paper proposes a variation on the system GMM estimator, based on a simple transformation of the dependent variable. Simulation results indicate that, in finite samples, this transformed system GMM estim...
متن کاملSubset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen, Heaton, and Yaron (1996) is in principle able to reduce the small-sample bias, but it involves high-dime...
متن کاملEstimation of Linear Panel Data Models Using Gmm
In this chapter we study GMM estimation of linear panel data models. Several different types of models are considered, including the linear regression model with strictly or weakly exogenous regressors, the simultaneous regression model, and a dynamic linear model containing a lagged dependent variable as a regressor. In each case, different assumptions about the exogeneity of the explanatory v...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.936579