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A concise derivation of the Wallace and Hussain fixed effects transformation.

04.1.1 基于固定效应与误差成分两阶段最小二乘差异的 Hausman 检验AI 解读

A Hausman test based on the difference between fixed effects two-stage least squares and error components two-stage least squares.

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A concise derivation of the Wallace and Hussain fixed effects transformation.

1989—1999 年全球计量经济学机构与个人发表排名更新AI 解读

This paper updates rankings of academic institutions by Hall (1990, Econometric Theory 6, 1–16) and Baltagi (1998, Econometric Theory 14, 1–43) by publication activity in econometrics over the period 1989–1999. This is based on 15 leading international journals that publish econometrics articles. In addition, a list of the top 150 individual producers of econometrics in these 15 journals over this period is provided. This is done for theoretical econometrics and also for all…

非平衡双向误差分量回归模型的替代估计量比较AI 解读

This paper considers the unbalanced two-way error component model studied by Wansbeek and Kapteyn (1989). Alternative analysis of variance (ANOVA), minimum norm quadratic unbiased and restricted maximum likelihood (REML) estimation procedures are proposed. The mean squared error performance of these estimators are compared using Monte Carlo experiments. Results show that for the estimates of the variance components, the computationally more demanding maximum likelihood (ML)…

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不完整面板下的联立方程估计AI 解读

This paper compares the performance of several single and system estimators of a two equation simultaneous model with unbalanced panel data. The Monte Carlo design varies the degree of unbalancedness in the data and the variance components ratio due to the individual effects. One useful result for applied researchers is that the feasible error components 2SLS and 3SLS procedures based on simple ANOVA type estimators of the variance components perform well with incomplete…

具有 AR(1) 扰动的不等间隔面板数据回归AI 解读

This paper deals with the estimation of unequally spaced panel data regression models with AR(1) remainder disturbances. A feasible generalized least squares (GLS) procedure is proposed as a weighted least squares that can handle a wide range of unequally spaced panel data patterns. This procedure is simple to compute and provides natural estimates of the serial correlation and variance components parameters. The paper also provides a locally best invariant test for zero…

应用计量经济学发表活动的比较：1989—1995年AI 解读

This paper ranks academic institutions by publication activity in applied econometrics over the period 1989-1995. Fourteen leading international journals that publish applied econometrics articles are used to provide the database. The rankings are based on standardized page counts of articles published in these journals over the stated period. A 'Hall of Fame' is developed listing the top 100 individual producers of applied econometrics in the fourteen journals considered.…

应用计量经济学发表活动排名：1989—1995 年AI 解读

This paper ranks academic institutions by publication activity in applied econometrics over the period 1989-1995. Fourteen leading international journals that publish applied econometrics articles are used to provide the database. The rankings are based on standardized page counts of articles published in these journals over the stated period. A 'Hall of Fame' is developed listing the top 100 individual producers of applied econometrics in the fourteen journals considered.…

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全球计量经济学机构发表活动排名：1989—1995年AI 解读

This paper updates Hall's (1987, Econometric Theory 3, 171–194; 1990, Econometric Theory 6, 1–16) rankings of academic institutions by publication activity in econometrics over the period 1989–1995. Fifteen leading international journals that publish econometrics articles are used to provide the database. The rankings are based on standardized page counts of articles published in these journals over the stated period. Separate rankings are provided for theoretical…

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