This paper tests pair-wise causal relationships between uncertainty, returns and investment using unbalanced panel data of the 13 insurance companies listed in the KSE for the period from 1996 to 2008. Volatility of returns from the daily stock was measured using the GARCH (p, q) for appropriate values of p and q. The study applied panel data models in the lines of common constants, fixed effec...

In panel data, individuals (persons, firms, cities, ... ) are observed at several points in time (days, years, before and after treatment, ...). This handout focuses on panels with relatively few time periods (small T ) and many individuals (large N). This handout introduces the two basic models for the analysis of panel data, the fixed effects model and the random effects model, and presents c...

We propose outlier-robust estimators for linear dynamic fixed effects panel data models where the number of observations,N , is large and the number of time periods, T , is small. In the simple setting of estimating the AR(1) coefficient from stationary Gaussian panel data, the estimator is (a linear transformation of) the median ratio of adjacent first-differenced data pairs. Its influence fun...

This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross section cases. A bias corrected nonp...

This paper considers the problem of estimating a partially linear semiparametric fixed effects panel data model with possible endogeneity. Using the series method, we establish the root N normality result for the estimator of the parametric component, and we show that the unknown function can be consistently estimated at the standard nonparametric rate.

In this paper, we propose a panel data semiparametric varying–coefficient model in which covariates (variables affecting the coefficients) are purely categorical. This model has two features: first, fixed effects are included to allow for correlation between individual unobserved heterogeneity and the regressors; second, it allows for cross–sectional dependence through a general spatial error d...

according to international trade theories, countries attempt to produce and export commodities with their abundant resources. iran has great energy resources and availability of inexpensive energy input has increased energy consumption per capita in manufacturing sector as well as in consuming sector. relying on low energy price, manufacturers employ energy-intensive methods for producing and e...

China’s urbanization has resulted in significant changes in agricultural land use. However, understanding of the linkages between urbanization and fertilizer use intensity is limited. Using county-level panel data for Henan Province, 1995–2008 and panel econometric models, we investigate the impact of urbanization and other socioeconomic factors on fertilizer use intensity, with a focus on the ...