This paper proposes a group bridge estimator to select the correct number of factors in approximate factor models. It contributes to the literature on shrinkage estimation and factor models by extending the conventional bridge estimator from a single equation to a large panel context. The proposed estimator can consistently estimate the factor loadings of relevant factors and shrink the loading...

The effectiveness of an orthogonal to backward mean transformation is investigated in the context a non-stationary panel data model. It shown that corresponding estimator as efficient Transformed Maximum Likelihood when autoregressive parameter equal unity. Furthermore, recently introduced bias-corrected version almost Pooled Least Squares estimator.

By deriving the finite sample biases, this paper shows analytically why the system GMM estimator in dynamic panel data models is less biased than the first differencing or the level estimators even though the former uses more instruments.

This paper estimates the average Australian public sector wage premium. It includes a detailed critical review of the methods available to address this issue. The chosen approach is a quasi‐differenced panel data model, estimated by the Generalised Method of Moments, which has many advantages over other methods and has not been used before for this topic. I find a ...

Using panel data from the 2007-09 Survey of Consumer Finances, this research explores channels through which the Great Recession affected households’ demand for life insurance policies. Existing literature suggests that the economic downturn induced changes in insurance coverage due to both financial and psychological shocks. This paper utilizes Probit regressions with differenced explanatory v...

Objective of this paper is to highlight the rapid assessment (in a few minutes) of fractionally differenced standard long memory time series in terms of parameter estimation and optimal lag order assessment. Initially, theoretical aspects of standard fractionally differenced processes with long memory and related state space modelling will be discussed. An efficient mechanism based on theory to...

Bai (2009) proposes recursive estimation for panel data models with interactive effects. We study the behaviours of this estimator. The formula is established that shows estimators depend on initial estimator, population structure and iterative steps. Under some general scenarios, we find estimator becomes consistent after first iteration from any initials. also obtain optimal number steps unde...

abstract This paper studies the asymptotic covariance estimation associated with the LIML estimator for large-T dynamic panel structural equations. The proposed simple estimation method is based on the fixed-N or large Kasymptotics relating to the number of backward-filtered instruments. We demonstrate the resulting t-Test which also does not need asymptotic bias correction works well with the ...

We analyse the effect of the anonymisation method multiplicative stochastic noise on the within estimation of a linear panel model. In particular, we concentrate on the panel model with serially correlated regressors. In addition to anonymisation as such, the serial correlation in a data set with only few points in time increases the bias of the within estimator and therefore must be taken into...