行业动态估计方法的蒙特卡罗证据

Q3 Mathematics

Journal of Econometric Methods Pub Date : 2016-08-16 DOI:10.1515/jem-2018-0010

Kazufumi Yamana

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引用次数: 0

摘要

摘要本文提出了异质企业非线性随机动态模型的结构估计方法。我进行了蒙特卡罗实验，以评估AR(1)动态面板数据的估计器的性能，这些数据受样本选择的影响，没有外生回归。结果表明，需要对样本选择进行修正，并且所提出的结构估计方法效果良好。这些结果对于不满足标准样本选择校正方法假设的实际情况是重要的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Monte Carlo Evidence on the Estimation Method for Industry Dynamics

Abstract This study presents a structural estimation method for nonlinear stochastic dynamic models of heterogeneous firms. I perform a Monte Carlo experiment to evaluate the performance of the estimators for the AR(1) dynamic panel data subject to sample selection without exogenous regressors. The results suggest a strong need to correct the sample selection and that the proposed structural estimation method works well. These results are important for practical situations where the assumptions of the standard sample selection correction methods are not satisfied.

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来源期刊

Journal of Econometric Methods Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

2.20

自引率

0.00%

发文量