Artikel
Consistency in estimation and model selection of dynamic panel data models with fixed effects
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters when some true exogenous regressors are excluded. We propose a data dependent way to specify the prior of the autoregressive coefficient and argue for comparing different model specifications before parameter estimation. Model selection properties of Bayes factors and Bayesian information criterion (BIC) are investigated. When model uncertainty is substantial, we recommend the use of Bayesian Model Averaging to obtain point estimators with lower root mean squared errors (RMSE). We also study the implications of different levels of inclusion probabilities by simulations.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 494-524 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Bayesian Analysis: General
Estimation: General
Statistical Simulation Methods: General
- Thema
-
dynamic panel data model with fixed effects
incidental parameter problem
consistency in estimation
model selection
bayesian model averaging
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Li, Guangjie
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2015
- DOI
-
doi:10.3390/econometrics3030494
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Li, Guangjie
- MDPI
Entstanden
- 2015
Ähnliche Objekte (12)
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Binarization for panel models with fixed effects
Model Selection Methods for Panel Vector Autoregressive Models
Fixed effect estimation of large T panel data models
Dynamic linear panel regression models with interactive fixed effects
Multiple fixed effects in binary response panel data models
Fixed effect estimation of large T panel data models
Dynamic linear panel regression models with interactive fixed effects
Estimating Fixed Effects Logit Models with Large Panel Data
Consistent Estimation of Panel Data Sample Selection Models
A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects
Testing for Serial Correlation in Fixed-Effects Panel Data Models
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Binarization for panel models with fixed effects
Model Selection Methods for Panel Vector Autoregressive Models
Fixed effect estimation of large T panel data models
Dynamic linear panel regression models with interactive fixed effects
Multiple fixed effects in binary response panel data models
Fixed effect estimation of large T panel data models
Dynamic linear panel regression models with interactive fixed effects
Estimating Fixed Effects Logit Models with Large Panel Data
Consistent Estimation of Panel Data Sample Selection Models
A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects
Testing for Serial Correlation in Fixed-Effects Panel Data Models
Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Binarization for panel models with fixed effects
Model Selection Methods for Panel Vector Autoregressive Models
Fixed effect estimation of large T panel data models
Dynamic linear panel regression models with interactive fixed effects
Multiple fixed effects in binary response panel data models
Fixed effect estimation of large T panel data models
Dynamic linear panel regression models with interactive fixed effects
Estimating Fixed Effects Logit Models with Large Panel Data
Consistent Estimation of Panel Data Sample Selection Models
A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects