Hugo Kruiniger
Personal Details
First Name: | Hugo |
Middle Name: | |
Last Name: | Kruiniger |
Suffix: | |
RePEc Short-ID: | pkr21 |
[This author has chosen not to make the email address public] | |
http://www.dur.ac.uk/business/about/contact_us/staff-alpha/?id=8642 | |
Department of Economics and Finance, Durham University, 23-26 Old Elvet, Durham DH1 3HY, United Kingdom | |
+44 191 3346334 |
Affiliation
Durham University, Department of Economics and Finance
http://www.dur.ac.uk/dbs/United Kingdom, Durham
23-26 Old Elvet, Durham, DH1 3HY, UK
Research output
Jump to: Working papers ArticlesWorking papers
- Hugo Kruiniger, 2023. "Large sample properties of GMM estimators under second-order identification," Papers 2307.13475, arXiv.org.
- Hugo Kruiniger, 2020. "Further results on the estimation of dynamic panel logit models with fixed effects," Papers 2010.03382, arXiv.org, revised Feb 2023.
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 88623, University Library of Munich, Germany.
- Hugo Kruiniger, 2006.
"GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data,"
Working Papers
560, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2009. "Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
- Hugo Kruiniger, 2006.
"Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions,"
Working Papers
582, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2013. "Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions," Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
- Hugo Kruiniger, 2002.
"On the estimation of panel regression models with fixed effects,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
C6-2, International Conferences on Panel Data.
- Hugo Kruiniger, 2002. "On the Estimation of Panel Regression Models with Fixed Effects," Working Papers 450, Queen Mary University of London, School of Economics and Finance.
- Hugo Kruiniger, 2002. "Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects," Working Papers 458, Queen Mary University of London, School of Economics and Finance.
- Hugo Kruiniger & Elias Tzavalis, 2002.
"Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
B5-1, International Conferences on Panel Data.
- Hugo Kruiniger & Elias Tzavalis, 2002. "Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms," Working Papers 459, Queen Mary University of London, School of Economics and Finance.
- Hugo Kruiniger, 2000. "GMM Estimation of Dynamic Panel Data Models with Persistent Data," Working Papers 428, Queen Mary University of London, School of Economics and Finance.
- Hugo Kruiniger, 2000.
"Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects,"
Working Papers
429, Queen Mary University of London, School of Economics and Finance.
repec:qmw:qmwecw:wp458 is not listed on IDEAS
repec:qmw:qmwecw:wp428 is not listed on IDEAS
repec:qmw:qmwecw:wp450 is not listed on IDEAS
repec:qmw:qmwecw:wp582 is not listed on IDEAS
repec:qmw:qmwecw:wp429 is not listed on IDEAS
repec:qmw:qmwecw:wp459 is not listed on IDEAS
repec:qmw:qmwecw:wp560 is not listed on IDEAS
Articles
- Hugo Kruiniger, 2022. "Estimation of dynamic panel data models with a lot of heterogeneity," Econometric Reviews, Taylor & Francis Journals, vol. 41(2), pages 117-146, February.
- Hugo Kruiniger, 2021. "Identification without assuming mean stationarity: quasi–maximum likelihood estimation of dynamic panel models with endogenous regressors," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 417-441.
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
- Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2009.
"Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
- Hugo Kruiniger, 2006. "GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data," Working Papers 560, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2008. "Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model," Journal of Econometrics, Elsevier, vol. 144(2), pages 447-464, June.
- Kruiniger, Hugo, 2007. "An Efficient Linear Gmm Estimator For The Covariance Stationary Ar(1)/Unit Root Model For Panel Data," Econometric Theory, Cambridge University Press, vol. 23(3), pages 519-535, June.
- Kruiniger, Hugo, 2000. "On the solution of the linear rational expectations model with multiple lags," Journal of Economic Dynamics and Control, Elsevier, vol. 24(4), pages 535-559, April.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Hugo Kruiniger, 2020.
"Further results on the estimation of dynamic panel logit models with fixed effects,"
Papers
2010.03382, arXiv.org, revised Feb 2023.
Cited by:
- Bo E. Honoré & Chris Muris & Martin Weidner, 2021.
"Dynamic Ordered Panel Logit Models,"
Working Papers
2021-14, Princeton University. Economics Department..
- Bo E. Honor'e & Chris Muris & Martin Weidner, 2021. "Dynamic Ordered Panel Logit Models," Papers 2107.03253, arXiv.org, revised Apr 2024.
- Bo E. Honoré & Chris Muris & Martin Weidner, 2021.
"Dynamic Ordered Panel Logit Models,"
Working Papers
2021-14, Princeton University. Economics Department..
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 88623, University Library of Munich, Germany.
Cited by:
- Breitung, Jörg & Kripfganz, Sebastian & Hayakawa, Kazuhiko, 2022. "Bias-corrected method of moments estimators for dynamic panel data models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 116-132.
- Hugo Kruiniger, 2006.
"GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data,"
Working Papers
560, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2009. "Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
Cited by:
- Maurice J. G. Bun & Frank Windmeijer, 2010.
"The weak instrument problem of the system GMM estimator in dynamic panel data models,"
Econometrics Journal, Royal Economic Society, vol. 13(1), pages 95-126, February.
- Maurice J.G. Bun & Frank Windmeijer, 2007. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Bristol Economics Discussion Papers 07/595, School of Economics, University of Bristol, UK.
- Maurice Bun & Frank Windmeijer, 2007. "The weak instrument problem of the system GMM estimator in dynamic panel data models," CeMMAP working papers CWP08/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Maurice J.G. Bun & Frank Windmeijer, 2009. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 09-086/4, Tinbergen Institute.
- In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers 1404, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
- Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
88623, University Library of Munich, Germany.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Peter C.B. Phillips, 2014. "Dynamic Panel GMM with Near Unity," Cowles Foundation Discussion Papers 1962, Cowles Foundation for Research in Economics, Yale University.
- Celikay, Ferdi, 2020.
"Dimensions of tax burden: a review on OECD countries,"
Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 25(49), pages 27-43.
- Ferdi Celikay, 2020. "Dimensions of tax burden: a review on OECD countries," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 25(49), pages 27-43, March.
- Ioana Octavia Popescu, 2023. "Fallacy of floating? Reconsidering the ability of flexible exchange rates to offset terms-of-trade volatility in developing countries," CSAE Working Paper Series 2023-01, Centre for the Study of African Economies, University of Oxford.
- Tue Gorgens & Chirok Han & Sen Xue, 2016. "Asymptotic distributions of the quadratic GMM estimator in linear dynamic panel data models," ANU Working Papers in Economics and Econometrics 2016-635, Australian National University, College of Business and Economics, School of Economics.
- Peter C. B. Phillips, 2020.
"Dynamic Panel Modeling of Climate Change,"
Econometrics, MDPI, vol. 8(3), pages 1-28, July.
- Peter C.B. Phillips, 2018. "Dynamic Panel Modeling of Climate Change," Cowles Foundation Discussion Papers 2150, Cowles Foundation for Research in Economics, Yale University.
- Daniel Avdic & Martin Karlsson, 2017. "Growth in Earnings and Health: Nothing is as Practical as a Good Theory," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 63(4), pages 777-787, December.
- Joakim Westerlund & Jörg Breitung, 2013. "Lessons from a Decade of IPS and LLC," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 547-591, August.
- Ketenci, Natalya, 2014.
"Capital mobility in the panel GMM framework: Evidence from EU members,"
MPRA Paper
59014, University Library of Munich, Germany.
- Natalya Ketenci, 2015. "Capital mobility in the panel GMM framework: Evidence from EU members," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 12(1), pages 3-19, July.
- Robertson, Donald & Sarafidis, Vasilis & Westerlund, Joakim, 2014. "GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels," MPRA Paper 53419, University Library of Munich, Germany.
- Hayakawa, Kazuhiko & Nagata, Shuichi, 2016. "On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 265-303.
- Maurice J.G. Bun & Sarafidis, V., 2013. "Dynamic Panel Data Models," UvA-Econometrics Working Papers 13-01, Universiteit van Amsterdam, Dept. of Econometrics.
- Sarafidis, Vasilis, 2016. "Neighbourhood GMM estimation of dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 526-544.
- Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models,"
Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
- Maurice J. G. Bun & Frank Kleibergen, 2021. "Identification robust inference for moments based analysis of linear dynamic panel data models," Papers 2105.08346, arXiv.org.
- Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
- Hugo Kruiniger, 2006.
"Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions,"
Working Papers
582, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2013. "Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions," Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
Cited by:
- Arturas Juodis, 2014.
"Cointegration Testing in Panel VAR Models Under Partial Identification and Spatial Dependence,"
UvA-Econometrics Working Papers
14-08, Universiteit van Amsterdam, Dept. of Econometrics.
- Arturas Juodis, 2013. "Cointegration Testing in Panel VAR Models Under Partial Identification and Spatial Dependence," UvA-Econometrics Working Papers 13-08, Universiteit van Amsterdam, Dept. of Econometrics.
- Gørgens, Tue & Han, Chirok & Xue, Sen, 2020. "On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root," Economics Letters, Elsevier, vol. 197(C).
- Hugo Kruiniger, 2023. "Large sample properties of GMM estimators under second-order identification," Papers 2307.13475, arXiv.org.
- In Choi & Sanghyun Jung, 2020.
"Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels,"
Working Papers
2007, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Sanghyun Jung, 2021. "Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels," Empirical Economics, Springer, vol. 60(1), pages 177-203, January.
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
88623, University Library of Munich, Germany.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Seung C. Ahn & Gareth M. Thomas, 2023. "Likelihood-based inference for dynamic panel data models," Empirical Economics, Springer, vol. 64(6), pages 2859-2909, June.
- Artūras Juodis & Vasilis Sarafidis, 2018.
"Fixed T dynamic panel data estimators with multifactor errors,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 893-929, September.
- Arturas Juodis & Sarafidis, V., 2014. "Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors," UvA-Econometrics Working Papers 14-07, Universiteit van Amsterdam, Dept. of Econometrics.
- Juodis, Arturas & Sarafidis, Vasilis, 2014. "Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors," MPRA Paper 57659, University Library of Munich, Germany.
- Prosper Dovonon & Alastair Hall, 2018. "The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification," CIRANO Working Papers 2018s-37, CIRANO.
- Artūras Juodis, 2018. "Rank based cointegration testing for dynamic panels with fixed T," Empirical Economics, Springer, vol. 55(2), pages 349-389, September.
- Robert F. Phillips, 2022. "Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias," Papers 2212.14075, arXiv.org, revised Jul 2024.
- Robertson, Donald & Sarafidis, Vasilis & Westerlund, Joakim, 2014. "GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels," MPRA Paper 53419, University Library of Munich, Germany.
- Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
- Maurice J.G. Bun & Martin A. Carree & Artūras Juodis, 2017.
"On Maximum Likelihood Estimation of Dynamic Panel Data Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 463-494, August.
- Maurice J.G. Bun & Martin A. Carree & Arturas Juodis, 2014. "On Maximum Likelihood estimation of dynamic panel data models," UvA-Econometrics Working Papers 14-04, Universiteit van Amsterdam, Dept. of Econometrics.
- Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
- Arturas Juodis, 2015. "Iterative Bias Correction Procedures Revisited: A Small Scale Monte Carlo Study," UvA-Econometrics Working Papers 15-02, Universiteit van Amsterdam, Dept. of Econometrics.
- Robert F. Phillips, 2014. "Quasi Maximum-Likelihood Estimation Of Dynamic Panel Data Models For Short Time Series," Working Papers 2014-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Zhenlin Yang, 2014. "Initial-Condition Free Estimation of Fixed Effects Dynamic Panel Data Models," Working Papers 16-2014, Singapore Management University, School of Economics.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2015. "Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 188(1), pages 111-134.
- Juodis, Artūras & Poldermans, Rutger W., 2021. "Backward mean transformation in unit root panel data models," Economics Letters, Elsevier, vol. 201(C).
- Hugo Kruiniger, 2002.
"On the estimation of panel regression models with fixed effects,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
C6-2, International Conferences on Panel Data.
- Hugo Kruiniger, 2002. "On the Estimation of Panel Regression Models with Fixed Effects," Working Papers 450, Queen Mary University of London, School of Economics and Finance.
Cited by:
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
88623, University Library of Munich, Germany.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Seung C. Ahn & Gareth M. Thomas, 2023. "Likelihood-based inference for dynamic panel data models," Empirical Economics, Springer, vol. 64(6), pages 2859-2909, June.
- Gareth M. Thomas & Seung C. Ahn, 2004. "Likelihood Based Inference for amic Panel Data Models," Econometric Society 2004 Far Eastern Meetings 669, Econometric Society.
- Stephen Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models,"
Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
- Maurice J. G. Bun & Frank Kleibergen, 2021. "Identification robust inference for moments based analysis of linear dynamic panel data models," Papers 2105.08346, arXiv.org.
- Hugo Kruiniger & Elias Tzavalis, 2002.
"Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
B5-1, International Conferences on Panel Data.
- Hugo Kruiniger & Elias Tzavalis, 2002. "Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms," Working Papers 459, Queen Mary University of London, School of Economics and Finance.
Cited by:
- Yiannis Karavias & Elias Tzavalis, 2017. "Local power of panel unit root tests allowing for structural breaks," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1123-1156, November.
- Yiannis Karavias & Elias Tzavalis, 2012. "The local power of fixed-T panel unit root tests allowing for serially correlated errors," Discussion Papers 12/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Artūras Juodis, 2018. "Rank based cointegration testing for dynamic panels with fixed T," Empirical Economics, Springer, vol. 55(2), pages 349-389, September.
- Yiannis Karavias & Elias Tzavalis, 2016. "Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 222-239, March.
- Giannetti, C., 2008.
"Unit Roots and the Dynamics of Market Shares : An Analysis Using Italian Banking Micro-Panel,"
Other publications TiSEM
08ff44cb-31c2-4845-8f7d-1, Tilburg University, School of Economics and Management.
- Caterina Giannetti, 2015. "Unit roots and the dynamics of market shares: an analysis using an Italian banking micro-panel," Empirical Economics, Springer, vol. 48(2), pages 537-555, March.
- Giannetti, C., 2008. "Unit Roots and the Dynamics of Market Shares : An Analysis Using Italian Banking Micro-Panel," Discussion Paper 2008-44, Tilburg University, Center for Economic Research.
- Stephen Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Karavias, Yiannis & Tzavalis, Elias, 2012. "On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors," MPRA Paper 43131, University Library of Munich, Germany.
- Yiannis Karavias & Elias Tzavalis, 2013.
"The power performance of fixed-T panel unit root tests allowing for structural breaks,"
Discussion Papers
13/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Karavias, Yiannis & Tzavalis, Elias, 2013. "The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks," MPRA Paper 46012, University Library of Munich, Germany.
- Yiannis Karavias & Elias Tzavalis, 2014. "Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite," Discussion Papers 14/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Josep Lluís Carrion‐i‐Silvestre & Kaddour Hadri, 2010. "Panel Data Unit Root Test With Fixed Time Dimension," Bulletin of Economic Research, Wiley Blackwell, vol. 62(3), pages 269-277, July.
- Hugo Kruiniger, 2000.
"GMM Estimation of Dynamic Panel Data Models with Persistent Data,"
Working Papers
428, Queen Mary University of London, School of Economics and Finance.
Cited by:
- Kruiniger, Hugo, 2009.
"Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
- Hugo Kruiniger, 2006. "GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data," Working Papers 560, Queen Mary University of London, School of Economics and Finance.
- Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2005. "Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E¤ects," Boston University - Department of Economics - Working Papers Series WP2005-024, Boston University - Department of Economics.
- Peter C.B. Phillips & Donggyu Sul, 2004.
"Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence,"
Yale School of Management Working Papers
ysm428, Yale School of Management.
- Peter C.B. Phillips & Donggyu Sul, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers 1438, Cowles Foundation for Research in Economics, Yale University, revised Jun 2004.
- Phillips, Peter C.B. & Sul, Donggyu, 2007. "Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 162-188, March.
- Phillips, Peter & Sul, Donggyu, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Working Papers 177, Department of Economics, The University of Auckland.
- Moses M. Sichei, 2005. "Bank-Lending Channel in South Africa: Bank-Level Dynamic Panel Date Analysis," Working Papers 200510, University of Pretoria, Department of Economics.
- Hahn, Jinyong & Hausman, Jerry & Kuersteiner, Guido, 2007. "Long difference instrumental variables estimation for dynamic panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 574-617, October.
- Hyungsik Roger Moon & Peter C.B. Phillips, 2003.
"GMM Estimation of Autoregressive Roots Near Unity with Panel Data,"
Cowles Foundation Discussion Papers
1390, Cowles Foundation for Research in Economics, Yale University.
- Hyungsik Roger Moon, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometric Society World Congress 2000 Contributed Papers 0913, Econometric Society.
- Hyungsik Roger Moon & Peter C. B. Phillips, 2004. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometrica, Econometric Society, vol. 72(2), pages 467-522, March.
- Hyungsik Roger Moon & Peter C.B. Phillips, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1274, Cowles Foundation for Research in Economics, Yale University.
- Kruiniger, Hugo, 2009.
"Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
Articles
- Hugo Kruiniger, 2021.
"Identification without assuming mean stationarity: quasi–maximum likelihood estimation of dynamic panel models with endogenous regressors,"
The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 417-441.
Cited by:
- Yan Sun & Wei Huang, 2022. "Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(1), pages 93-114, January.
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
See citations under working paper version above.
- Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2009.
"Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
See citations under working paper version above.
- Hugo Kruiniger, 2006. "GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data," Working Papers 560, Queen Mary University of London, School of Economics and Finance.
- Kruiniger, Hugo, 2008.
"Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model,"
Journal of Econometrics, Elsevier, vol. 144(2), pages 447-464, June.
Cited by:
- Xingwu Zhou & Martin Solberger, 2017. "A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 22-50, January.
- In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers 1404, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Bai, Jushan, 2013.
"Likelihood approach to dynamic panel models with interactive effects,"
MPRA Paper
50267, University Library of Munich, Germany.
- Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
- Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
- Ryo Okui, 2017.
"Misspecification in Dynamic Panel Data Models and Model-Free Inferences,"
The Japanese Economic Review, Springer, vol. 68(3), pages 283-304, September.
- Ryo Okui, 2017. "Misspecification in Dynamic Panel Data Models and Model-Free Inferences," The Japanese Economic Review, Japanese Economic Association, vol. 68(3), pages 283-304, September.
- In Choi & Sanghyun Jung, 2020.
"Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels,"
Working Papers
2007, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Sanghyun Jung, 2021. "Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels," Empirical Economics, Springer, vol. 60(1), pages 177-203, January.
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
88623, University Library of Munich, Germany.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Hayakawa, K. & Pesaran, M.H., 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models," Cambridge Working Papers in Economics 1224, Faculty of Economics, University of Cambridge.
- Seung C. Ahn & Gareth M. Thomas, 2023. "Likelihood-based inference for dynamic panel data models," Empirical Economics, Springer, vol. 64(6), pages 2859-2909, June.
- Geert Dhaene & Koen Jochmans, 2011.
"An Adjusted profile likelihood for non-stationary panel data models with fixed effects,"
Working Papers
hal-01073732, HAL.
- Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," SciencePo Working papers Main hal-01073732, HAL.
- Kruiniger, Hugo, 2009.
"Gmm Estimation And Inference In Dynamic Panel Data Models With Persistent Data,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1348-1391, October.
- Hugo Kruiniger, 2006. "GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data," Working Papers 560, Queen Mary University of London, School of Economics and Finance.
- Yiannis Karavias & Elias Tzavalis, 2017. "Local power of panel unit root tests allowing for structural breaks," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1123-1156, November.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2012.
"Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models,"
IZA Discussion Papers
6583, Institute of Labor Economics (IZA).
- Kazuhiko Hayakawa & M. Hashem Pesaran, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," CESifo Working Paper Series 3850, CESifo.
- Kazuhiko Hayakawa & M. Hashem Pesaran, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," Working Paper series 38_12, Rimini Centre for Economic Analysis.
- Yiannis Karavias & Elias Tzavalis, 2012. "The local power of fixed-T panel unit root tests allowing for serially correlated errors," Discussion Papers 12/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Han, Chirok & Phillips, Peter C.B., 2013. "First difference maximum likelihood and dynamic panel estimation," Journal of Econometrics, Elsevier, vol. 175(1), pages 35-45.
- Norkutė, Milda & Westerlund, Joakim, 2019. "The factor analytical method for interactive effects dynamic panel models with moving average errors," Econometrics and Statistics, Elsevier, vol. 11(C), pages 83-104.
- Artūras Juodis, 2018. "Rank based cointegration testing for dynamic panels with fixed T," Empirical Economics, Springer, vol. 55(2), pages 349-389, September.
- Yiannis Karavias & Elias Tzavalis, 2016. "Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 222-239, March.
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"Unit Root Tests for Dependent Micropanels,"
The Japanese Economic Review, Japanese Economic Association, vol. 70(2), pages 145-167, June.
- In Choi, 2019. "Unit Root Tests for Dependent Micropanels," The Japanese Economic Review, Springer, vol. 70(2), pages 145-167, June.
- Joakim Westerlund & Jörg Breitung, 2013. "Lessons from a Decade of IPS and LLC," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 547-591, August.
- Jan F. Kiviet & Milan Pleus & Rutger Poldermans, 2014.
"Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models,"
Economic Growth Centre Working Paper Series
1415, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
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- Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans, 2015. "Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models," CESifo Working Paper Series 5189, CESifo.
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- Blazsek, Szabolcs, 2012. "Patents, secret innovations and firm's rate of return : differential effects of the innovation leader," UC3M Working papers. Economics we1202, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Bazoumana Ouattara & Samuel Standaert, 2017. "Inequality And Property Rights, Revisited," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 17/935, Ghent University, Faculty of Economics and Business Administration.
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"On Maximum Likelihood Estimation of Dynamic Panel Data Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 463-494, August.
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"The power performance of fixed-T panel unit root tests allowing for structural breaks,"
Discussion Papers
13/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Karavias, Yiannis & Tzavalis, Elias, 2013. "The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks," MPRA Paper 46012, University Library of Munich, Germany.
- Abdelsalam, Omneya & Elnahass, Marwa & Ahmed, Habib & Williams, Julian, 2022. "Asset securitizations and bank stability: Evidence from different banking systems," Global Finance Journal, Elsevier, vol. 51(C).
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- Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
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"X-Differencing And Dynamic Panel Model Estimation,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
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- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2015. "Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 188(1), pages 111-134.
- Zhou, X. & Solberger, M., 2013. "A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification," Research Memorandum 058, Maastricht University, Graduate School of Business and Economics (GSBE).
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- Kruiniger, Hugo, 2007.
"An Efficient Linear Gmm Estimator For The Covariance Stationary Ar(1)/Unit Root Model For Panel Data,"
Econometric Theory, Cambridge University Press, vol. 23(3), pages 519-535, June.
Cited by:
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
- Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
- Robertson, Donald & Sarafidis, Vasilis & Westerlund, Joakim, 2014. "GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels," MPRA Paper 53419, University Library of Munich, Germany.
- Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (9) 2000-12-19 2000-12-19 2002-07-10 2002-07-10 2006-04-22 2007-01-13 2018-09-17 2020-10-26 2023-08-28. Author is listed
- NEP-ETS: Econometric Time Series (6) 2001-02-21 2001-02-21 2002-07-04 2006-04-22 2007-01-13 2018-09-17. Author is listed
- NEP-CBA: Central Banking (1) 2006-04-22
- NEP-DCM: Discrete Choice Models (1) 2020-10-26
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