اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدEstimation of Cross-Sectional Dependence in Large Panels
139
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
Accurate estimation for extent of cross{sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross{sectional dependence) together often results in less efficient dimension reduction and worse forecasting. This paper describes cross-sectional dependence among a large number of objects (time series) via a factor model and parameterizes its extent in terms of strength of factor loadings. A new joint estimation method, benefiting from unique feature of dimension reduction for high dimensional time series, is proposed for the parameter representing the extent and some other parameters involved in the estimation procedure. Moreover, a joint asymptotic distribution for a pair of estimators is established. Simulations illustrate the effectiveness of the proposed estimation method in the finite sample performance. Applications in cross-country macro-variables and stock returns from S&P 500 are studied.
قيم البحث
اقرأ أيضاً
This paper reexamines the seminal Lagrange multiplier test for cross-section independence in a large panel model where both the number of cross-sectional units n and the number of time series observations T can be large. The first contribution of the
paper is an enlargement of the test with two extensions: firstly the new asymptotic normality is derived in a simultaneous limiting scheme where the two dimensions (n, T) tend to infinity with comparable magnitudes; second, the result is valid for general error distribution (not necessarily normal). The second contribution of the paper is a new test statistic based on the sum of the fourth powers of cross-section correlations from OLS residuals, instead of their squares used in the Lagrange multiplier statistic. This new test is generally more powerful, and the improvement is particularly visible against alternatives with weak or sparse cross-section dependence. Both simulation study and real data analysis are proposed to demonstrate the advantages of the enlarged Lagrange multiplier test and the power enhanced test in comparison with the existing procedures.
We propose a unified frequency domain cross-validation (FDCV) method to obtain an HAC standard error. Our proposed method allows for model/tuning parameter selection across parametric and nonparametric spectral estimators simultaneously. Our candidat
e class consists of restricted maximum likelihood-based (REML) autoregressive spectral estimators and lag-weights estimators with the Parzen kernel. We provide a method for efficiently computing the REML estimators of the autoregressive models. In simulations, we demonstrate the reliability of our FDCV method compared with the popular HAC estimators of Andrews-Monahan and Newey-West. Supplementary material for the article is available online.
In a recent paper Juodis and Reese (2021) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection and propose a randomized test statistic to correct for over-reje
ction, and add a screening component to achieve power. This paper considers the same problem but from a different perspective and shows that the standard CD test remains valid if the latent factors are weak, and proposes a simple bias-corrected CD test, labelled CD*, which is shown to be asymptotically normal, irrespective of whether the latent factors are weak or strong. This result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample properties of the CD* test are investigated by Monte Carlo experiments and are shown to have the correct size and satisfactory power for both Gaussian and non-Gaussian errors. In contrast, it is found that JRs test tends to over-reject in the case of panels with non-Gaussian errors, and have low power against spatial network alternatives. The use of the CD* test is illustrated with two empirical applications from the literature.
Structural estimation is an important methodology in empirical economics, and a large class of structural models are estimated through the generalized method of moments (GMM). Traditionally, selection of structural models has been performed based on
model fit upon estimation, which take the entire observed samples. In this paper, we propose a model selection procedure based on cross-validation (CV), which utilizes sample-splitting technique to avoid issues such as over-fitting. While CV is widely used in machine learning communities, we are the first to prove its consistency in model selection in GMM framework. Its empirical property is compared to existing methods by simulations of IV regressions and oligopoly market model. In addition, we propose the way to apply our method to Mathematical Programming of Equilibrium Constraint (MPEC) approach. Finally, we perform our method to online-retail sales data to compare dynamic market model to static model.
Datasets from field experiments with covariate-adaptive randomizations (CARs) usually contain extra baseline covariates in addition to the strata indicators. We propose to incorporate these extra covariates via auxiliary regressions in the estimation
and inference of unconditional QTEs under CARs. We establish the consistency, limiting distribution, and validity of the multiplier bootstrap of the regression-adjusted QTE estimator. The auxiliary regression may be estimated parametrically, nonparametrically, or via regularization when the data are high-dimensional. Even when the auxiliary regression is misspecified, the proposed bootstrap inferential procedure still achieves the nominal rejection probability in the limit under the null. When the auxiliary regression is correctly specified, the regression-adjusted estimator achieves the minimum asymptotic variance. We also derive the optimal pseudo true values for the potentially misspecified parametric model that minimize the asymptotic variance of the corresponding QTE estimator. We demonstrate the finite sample performance of the new estimation and inferential methods using simulations and provide an empirical application to a well-known dataset in education.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
