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Keyword: dynamic models;
4 results found.
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V A Hajivassiliou, Frédérique Savignac and Frédérique Savignac
We develop novel methods for establishing coherency conditions in Static and Dynamic Limited Dependent Variables (LDV) Models. We propose estimation strategies based on Conditional Maximum Likelihood Estimation for simul...Read more...
5 November 2019
Javier Hidalgo and Marcia M Schafgans
This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first a...Read more...
1 April 2015
Myung Hwan Seo and Yongcheol Shin
This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both t...Read more...
1 September 2014
Andrew C Harvey and Andrew Scott
This paper examines the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from ...Read more...