Estimating long memory time-series-cross-section data
نویسندگان
چکیده
منابع مشابه
Time-Series–Cross-Section Methods
Time-series–cross-section (TSCS) data consist of comparable time series data observed on a variety of units. The paradigmatic applications are to the study of comparative political economy, where the units are countries (often the advanced industrial democracies) and where for each country we observe annual data on a variety of political and economic variables. A standard question for such stud...
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This paper deals with a variety of dynamic issues in the analysis of time-series– cross-section (TSCS) data. While the issues raised are more general, we focus on applications to political economy. We begin with a discussion of specification, and lay out the theoretical differences implied by the various types of time series models that have been estimated. It is shown that there is nothing per...
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This paper deals with a variety of dynamic issues in the analysis of time-series– cross-section (TSCS) data raised by recent papers; it also more briefly treats some cross-sectional issues. Monte Carlo analysis shows that for typical TSCS data that fixed effects with a lagged dependent variable performs about as well as the much more complicated Kiviet estimator, and better than the AndersonHsi...
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For a long time the most frequently used models in time series analysis were the AR, MA and ARMA processes. Their spectral densities are continuous and therefore bounded functions on [ — n, it]. If the periodogram of real data reached significantly high values, it was considered as an indication of the trend or of a periodic component. The bias arising after trend removal in the spectral densit...
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ABSTRACT HERE Data sets exhibiting slowly-decaying correlations occur in a wide variety of different subject areas, for example, financial returns, internet traffic and certain hydrological time series. A standard approach to analysis of such data specifies that the observed time series is a realization of a fractionally-differenced linear process. This specification has several advantages; for...
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ژورنال
عنوان ژورنال: Electoral Studies
سال: 2009
ISSN: 0261-3794
DOI: 10.1016/j.electstud.2008.07.008