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Bias Correction for Fixed Effects Spatial Panel Data Models
Bootstrap Spatial Panel Individual Fixed Effects Time Fixed Effects
2016/1/26
This paper examines the finite sample properties of the quasi maximum likelihood (QML) esti-mators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general b...
Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/25
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Bias Correction for Fixed Effects Spatial Panel Data Models
Bootstrap Spatial Panel Individual Fixed Effects Time Fixed Effects
2016/1/20
This paper examines the finite sample properties of the quasi maximum likelihood (QML) esti-mators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general b...
Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
Spatial autoregression Panel data Spatial cointegration Explosive roots Fixed e¤ects
2016/1/20
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
Dynamic panels Fixed e¤ects Quasi-maximum likelihood estima- tion Bias correction Generalized method of moments Spatial cointegration
2016/1/19
Yu, de Jong and Lee (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with …xed e¤ects when both the number of individuals n and th...
Spatial Panels: Random Components vs. Fixed Effects
Random components Fixed e¤ects Maximum likelihood estimation Pooling
2016/1/19
This paper investigates spatial panel data models with a space-time …lter in disturbances. We consider their estimation by both …xed e¤ects and random e¤ects speci…cations. With a between equation pro...
Effcient GMM estimation of spatial dynamic panel data models with fixed effects
Spatial autoregression Dynamic panels Fixed e¤ects Generalized method of moment Many moments
2016/1/19
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with …xed e¤ects when n is large, and T can be large, but small relative to n. The GMM esti...
Portfolio Optimization with Linear and Fixed Transaction Costs
Portfolio Optimization Linear Fixed Transaction Costs
2015/7/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Minimum-Time Speed Optimization Along a Fixed Path
minimum-time trajectory generation optimal speed control convex optimisation
2015/7/9
In this paper we investigate the problem of optimizing the speed of a vehicle over a fixed path for minimum time traversal. We utilize a change of variables that has been known since the 1980s, althou...
Guaranteed Conservative Fixed Width Confidence Intervals Via Monte Carlo Sampling
Guaranteed Conservative Fixed Width Confidence Intervals Monte Carlo Sampling
2012/9/17
Monte Carlo methods are used to approximate the means,? of random variablesY, whose distributions are not known explicitly. The key idea is that the
average of a random sample,Y1,...,Yn, tends to 礱sn...
Adaptive confidence bands in the nonparametric fixed design regression model
Adaptive confidence bands nonparametric fixed design regression model
2012/9/19
In this note, we consider the problem of existence of adaptive confidence bands in the fixed design regression model, adapting ideas in Hoffmann and Nickl [10] to the present case. In the course of th...
Local stability of Belief Propagation algorithm with multiple fixed points
Local stability Belief Propagation algorithm multiple fixed points
2012/9/19
A number of problems in statistical physics and computer science can be expressed as the computation of marginal probabilities over a Markov random field. Belief propagation, an iterative message-pass...
Rare event simulation for processes generated via stochastic fixed point equations
Monte Carlo methods importance sampling perpetuities
2011/7/19
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional equation ...
A Subspace Estimator for Fixed Rank Perturbations of Large Random Matrices
Large Random Matrix Theory MUSIC Algorithm Extreme Eigenvalues
2011/7/6
This paper deals with the problem of parameter estimation based on certain eigenspaces of the empirical covariance matrix of an observed multidimensional time series, in the case where the time series...
Hours constraints are typically identified by worker responses to questions asking whether they would prefer a job with more hours and more pay or fewer hours and less pay. Because jobs with different...