Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"dynamic panel data models"”.
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Essays on Quantile Regression for Dynamic Panel Data Models
… penalized quantile regression methods for dynamic panel data with fixed effects. We consider a penalized strategy designed to improve the properties of the dynamic panel data quantile regression instrumental variables estimator. The penalty involves l1 shrinkage of the fixed effects. We …
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Essays on testing spatial models
… (LM) tests) for different types of spatial models. The models studied in this thesis include a spatial dynamic panel data (SDPD) model and a nonlinear SAR (NSAR) model. The proposed test is aiming to solve model selection problems. Chapter 1,""Robust LM tests for spatial dynamic panel data …
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Three Essays on Testing for Cross-Sectional Dependence and Specification in Large Panel Data Models
… dependence and specification in large panel data models. The first two essays are based on the papers joint with Prof. Badi H. Baltagi and Prof. Chihwa Kao; the third essay is based on the working paper joint with Prof. Lee. The first essay considers testing for Sphericity with …
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Essays in Financial Econometrics
… matrix estimation and GMM estimation in panel data models, as well as one paper on ETF mispricing and authorized participants' inventory. In the first 2 papers, I proposed two new methods and applied them to the applications including macroeconomic forecast reconciliation, Covid policy …
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Essays on the economics of crime and econometric methodology
… market outcomes of victims. I use longitudinal data from the National Crime Victimization Survey to estimate the employment-related costs of crime. Estimates suggest that being the victim of a violent crime causes a transitory decline in the employment rates and household income of victims of 2 …
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Four Essays on Dynamic Panel Models
Dynamic panel data models can suffer greatly from the incidental parameter bias due to correlation between past realizations of the data and the unobserved heterogeneity, and this bias is a function of included regressors.This paper uses a simulation-based methods that require explicit model and …
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Model selection for correlated data and moment selection from high-dimensional moment conditions
High-dimensional correlated data arise frequently in many studies. My primary research interests lie broadly in statistical methodology for correlated data such as longitudinal data and panel data. In this thesis, we address two important but challenging issues: model selection for correlated data …
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Essays on stock market openness, cost of capital and investment
… capital and investment. Whilst theoretical models and extant empirical evidence suggest that emerging markets integration with global markets promotes risk sharing between domestic and foreign investors, reducing the cost of capital and increasing investments, other strands of research take …