The Essex website uses cookies. By continuing to browse the site you are consenting to their use. Please visit our cookie policy to find out which cookies we use and why. View cookie policy.

University of Essex homepage Events Econometrics seminar by Pavel Cizek
Event

Robust Indirect Inference Estimation of Linear Dynamic Panel Data Models by Pavel Cizek

Join us for this event which is part of the Econometrics Research Seminar Series, Autumn Term 2024

  • Wed 4 Dec 24

    16:00 - 17:30

  • Colchester Campus

    5B.307

  • Event speaker

    Pavel Cizek

  • Event type

    Lectures, talks and seminars
    Econometrics Research Seminar Series

  • Event organiser

    Economics, Department of

Robust Indirect Inference Estimation of Linear Dynamic Panel Data Models by Pavel Cizek

Join us for this weeks Econometrics Research Seminar, Autumn Term 2024

Pavel Cizek, from Tilburg University, will present their research on Robust Indirect Inference Estimation of Linear Dynamic Panel Data Models.

Abstract

We introduce new estimation methodology for linear dynamic panel-data models. The proposed approach generalizes the estimation methods based on bias-corrected least-squares estimators to the robust regression estimators, thus providing an alternative that is robust to outliers and observations not following the specified dynamic model. For this purpose, we extend the existing simulation-based indirect-inference estimation, and to achieve sufficient robustness, we introduce the multivariate-trimmed estimators. We provide examples of the multivariate-trimmed estimators relevant to dynamic panel-data models, establish their asymptotic properties, and correct their biases using the proposed bias-correction method based on the indirect inference. The finite sample performance – both in terms of precision and robustness – is compared with existing estimators by means of Monte Carlo simulations, and it is demonstrated in a real-data application.   

This seminar will be held on campus, is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.

WE ARE
ESSEX ARE YOU?
Get a prospectus Get to know Essex
STUDY
Find a course
LIFE
RESEARCH
EXPLORE
CONTACT US
Contact


  • +44 (0) 1206 873333
  • University of Essex
  • Wivenhoe Park
  • Colchester CO4 3SQ

 

 

University of Essex - Where change happens

CONNECT WITH US
© 2024 University of Essex. All rights reserved