Blar i BI Open på tidsskrift "Journal of Econometrics"
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Celebrating 40 years of panel data analysis: Past, present and future
(Peer reviewed; Journal article, 2021)The present special issue features a collection of papers presented at the 2017 International Panel Data Conference, hosted by the University of Macedonia in Thessaloniki, Greece. The conference marked the 40th anniversary ... -
A flexible predictive density combination for large financial data sets in regular and crisis periods
(Peer reviewed; Journal article, 2023)A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive ... -
A flexible predictive density combination for large financial data sets in regular and crisis periods
(Journal article; Peer reviewed, 2023)A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive ... -
An incidental parameters free inference approach for panels with common shocks
(Journal article; Peer reviewed, 2021)This paper develops a novel Method of Moments approach for panel data models withendogenous regressors and unobserved common factors. The proposed approach doesnot require estimating explicitly a large number of parameters ... -
Instrument-free identification and estimation of differentiated products models using cost data
(Peer reviewed; Journal article, 2022)We propose a new methodology for identifying and estimating demand in differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity ... -
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
(Journal article; Peer reviewed, 2021)This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exogenous covariates and a multifactor error structure when both the cross-sectional and time series dimensions, and respectively, ... -
Locally robust inference for non-Gaussian linear simultaneous equations models
(Journal article; Peer reviewed, 2024)All parameters in linear simultaneous equations models can be identified (up to permutation and sign) if the underlying structural shocks are independent and at most one of them is Gaussian. Unfortunately, existing inference ... -
Markov switching panel with endogenous synchronization effects
(Journal article; Peer reviewed, 2021)This paper introduces a new dynamic panel model with multi-layer network effects. Series-specific latent Markov chain processes drive the dynamics of the observable processes, and several types of interaction effects among ... -
Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt
(Journal article; Peer reviewed, 2019)We characterize the sharp identification regions for the coefficients in a system of linear equations that share an explanatory variable measured with classical error. We demonstrate the identification gain from analyzing ... -
Time-varying combinations of predictive densities using nonlinear filtering
(Journal article; Peer reviewed, 2013)We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several speci cations of multivariate time-varying ...