Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models

Nlhihu/ Q1 P1 +4<;3,/ Hvwlpdwlrq ri Il{hg Hhfw Prghov iru Wlph Vhulhv ri Furvv0Vhfwlrqv
zlwk Duelwudu| Lqwhuwhpsrudo Fryduldqfh/ Mrxuqdo ri Hfrqrphwulfv/ 47/ 4<805351

Ndr/ F1 +4<<<,/ Vsxulrxv Uhjuhvvlrq dqg Uhvlgxdo0Edvhg Whvwv iru Frlqwhjudwlrq lq Sdqho

Gdwd/ Mrxuqdo ri Hfrqrphwulfv/ <3/ 40771

Ndr/ F1/ dqg Fkldqj/ P10K1 +5333,/ Rq wkh Hvwlpdwlrq dqg Lqihuhqfh ri d Frlqwhjudwhg

Uhjuhvvlrq lq Sdqho Gdwd1 Dgydqfhv lq Hfrqrphwulfv/ Yroxph 48/ iruwkfrplqj1

Nduovvrq/ V1/ dqg Vnrjoxqg/ M1 +5333,/ Pd{lpxp0Olnholkrrg Edvhg Lqihuhqfh lq wkh Wzr0zd|

Udqgrp Hhfwv Prgho zlwk Vhuldoo| Fruuhodwhg Wlph Hhfwv/ Qr 6;6/ VVH2HIL Zrunlqj

Sdshu Vhulhv lq Hfrqrplfv dqg Ilqdqfh/ Vwrfnkrop Vfkrro ri Hfrqrplfv1

Nhdqh/ P1 S1/ dqg Uxqnoh/ G1 H1 +4<<5,/ Rq wkh Hvwlpdwlrq ri Sdqho0Gdwd Prghov zlwk

Vhuldo Fruuhodwlrq zkhq Lqvwuxphqwv duh qrw Vwulfwo| H{rjhqrxv/ Mrxuqdo ri Exvlqhvv dqg
Hfrqrplfv Vwdwlvwlfv/ 43/ 40 <1

Nhhqhu/ U1 Z1/ M1 Nphqwd dqg Q1F1 Zhehu +4<<4,/ Hvwlpdwlrq ri wkh Fryduldqfh Pdwul{
ri wkh Ohdvw Vtxduhv Uhjuhvvlrq Frh!flhqwv Zkhq wkh Glvwxuedqfh Fryduldqfh Pdwul{ lv ri
Xqnqrzq Irup/ Hfrqrphwulf Wkhru| :/ 550781

Nh}gl/ J1 +5334,/ Urexvw Vwdqgdug Huuru Hvwlpdwlrq lq Il{hg0Hhfwv Sdqho Prghov/

Pdqxvfulsw/ Xqlyhuvlw| ri Plfkljdq1

Nlqj/ U1/ F1 Sorvvhu/ M1 Vwrfn dqg P1 Zdwvrq +4<<4,/ Vwrfkdvwlf Wuhqgv dqg Hfrqrplf

Ioxfwxdwlrqv/ Dphulfdq Hfrqrplf Uhylhz ;4/ ;4<0;731

Nrro/ K1 +4<;;,/ D Qrwh rq Frqvlvwhqw Hvwlpdwlrq ri Khwhurvnhgdvwlf dqg Dxwrfruuhodwhg
Fryduldqfh Pdwulfhv/ Uhvhdufk Phprudqgxp 54/ Ghsduwphqw ri Hfrqrphwulfv/ Iuhh Xql0
yhuvlw|/ Dpvwhugdp11

Ohylqh/ G1 +4<;6,/ D Uhpdun rq Vhuldo Fruuhodwlrq lq Pd{lpxp Olnholkrrg/ Mrxuqdo ri
Hfrqrphwulfv 56/ 66:06751

Ohylww/ V1 G1 +4<<;,/ Mxyhqloh Fulph dqg Sxqlvkphqw/ Mrxuqdo ri Srolwlfdo Hfrqrp|/ 439/
4489 0 44;81

Oloodug/ O1 D1/ dqg Zloolv/ U1 M1 +4<:;,/ G|qdplf Dvshfwv ri Hduqlqjv Prelolw|/ Hfrqrphw0
ulfd/ 79/ <;8043451

Qhzh|/ Z1 dqg N1 Zhvw +4<;:,/ D Vlpsoh Srvlwlyh Vhpl0Ghqlwh/ Khwhurvnhgdvwlflw| dqg
Dxwrfruuhodwlrq Frqvlvwhqw Fryduldqfh Pdwul{/ Hfrqrphwulfd 88/ :360:3;1

Qhzh|/ Z1 dqg N1 Zhvw +4<<7,/ Dxwrpdwlf Odj Vhohfwlrq lq Fryduldqfh Pdwul{ Hvwlpdwlrq/
Uhylhzv ri Hfrqrplf Vwxglhv 94/ 96409861

Sdun/ E1/ dqg Vlfnohv/ U1 F1 Vhplsdudphwulf H!flhqw Hvwlpdwlrq ri DU+4, Sdqho Gdwd

Prghov/ Pdqxvfulsw/ Ulfh Xqlyhuvlw|1

Sdu}hq/ H1 +4<8:,/ Rq Frqvlvwhqw Hvwlpdwhv ri wkh Vshfwuxp ri d Vwdwlrqdu| Wlph Vhulhv/

47

<<   13   14   15   16   17   18   19   >>

More intriguing information