Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit

DOI10.1016/j.jeconom.2020.04.015zbMath1464.62510OpenAlexW3026453586MaRDI QIDQ2224996

Charles J. Saunders, Marcel Voia, Lynda Khalaf, Maral Kichian

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.015

zbMATH Keywords

dynamic panel modelmixed data samplingreserve holdings modelunidentified nuisance parameter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (2)

Machine learning panel data regressions with heavy-tailed dependent data: theory and application ⋮ Panel data nowcasting

Uses Software

• Stata
• xtabond2

Cites Work

• Unnamed Item
• MIDAS Regressions: Further Results and New Directions
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• Unequal spacing in dynamic panel data: identification and estimation
• Macroeconomics and the reality of mixed frequency data
• Testing for Granger causality in large mixed-frequency VARs
• Formulation and estimation of dynamic models using panel data
• Testing the functional constraints on parameters in regressions with variables of different frequency
• Estimation of AR(1) models with unequally spaced pseudo‐panels
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• Mixed-Frequency Vector Autoregressive Models
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• How Much Should We Trust Differences-In-Differences Estimates?
• GMM with Weak Identification
• State Space Models and MIDAS Regressions
• Testing Parameters in GMM Without Assuming that They Are Identified
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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