Blar i Discussion Papers på emneord "JEL classification: C13"
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A method for improved capital measurement by combining accounts and firm investment data. A revised version
(Discussion Papers;No. 365, Working paper, 2007)Abstract: We propose a new method for estimating capital stocks at the firm level by combining business accounts information and investment data. The method also produces capital estimates at the sector or industry level ... -
A state space approach for estimating VAR models for panel data with latent dynamic components
(Discussion Papers;No. 295, Working paper, 2001)Abstract: The econometric literature offers various modeling approaches for analyzing micro data in combination with time series of aggregate data. This paper discusses the estimation of a VAR model that allows unobserved ... -
Constructing panel data estimators by aggregation: A general moment estimator and a suggested synthesis
(Discussion Papers;No. 420, Working paper, 2005)Abstract: A regression equation for panel data with two-way random or fixed effects and a set of individual specific and period specific `within individual' and `within period', estimators of its slope coefficients are ... -
Correlated Measurement Errors, Bounds on Parameters, and a Model of Producer Behavior
(Discussion papers;112, Working paper, 1994-04)We examine estimation of a model of producer behavior in the presence of correlated measurement errors in the regressors. Scale economies and price-cost margins are estimated from a set of panel data for manufacturing ... -
Does the CPI mirror costs-of-living? Engel's law suggests not in Norway
(Discussion Papers;No. 368, Working paper, 2004)There is considerable interest in identifying the magnitude of the difference between increases in CPI and costs-of-living, and this article uses the technique proposed by Hamilton (2001) to measure this discrepancy for ... -
Engel elasticities, pseudo-maximum likelihood estimation and bootstrapped standard errors : a case study
(Discussion Papers;No. 532, Working paper, 2008)Abstract: Estimation of standard errors of Engel elasticities within the framework of a linear structural model formulated on two-wave panel data is considered. The complete demand system is characterized by measurement ... -
Forecasting key macroeconomic variables from a large number of predictors : a state space approach
(Discussion Papers;No. 504, Working paper, 2007)Abstract: We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2–2005Q4. The model is used to obtain forecasts for 22 key variables that can be ... -
How do banks' funding costs affect interest margins?
(Discussion Papers;No. 665, Working paper, 2011)Abstract: We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to study the effects of banks' funding costs on their retail rates. Banks' funds are categorized ... -
Identification, estimation and testing in Panel Data Models with attrition : the role of the Missing at Random Assumption
(Discussion Papers;No. 330, Working paper, 2002)Abstract: This paper discusses identification, estimation and testing in panel data models with attrition. We focus on a situation which often occurs in the analysis of firms: Attrition (exit) is endogenous and depends ... -
Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
(Discussion Papers;601, Working paper, 2009)This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference ... -
Is the distribution of income compatible with s stable distribution?
(Discussion Papers;No. 246, Working paper, 1999)Mandelbrot (1961) proposed to apply the class of Pareto-Levy distributions - which belong to the Stable distributions - as a framework for modelling income distributions. He also presented theoretic arguments in favor ... -
Lumpy investments, factor adjustments and productivity
(Discussion Papers;No. 441, Working paper, 2005)Abstract: This paper describes firms' output and factor demand before, during and after episodes of lumpy investments using a rich employer-employee panel data set for two manufacturing industries and one service industry. ... -
Modeling and estimation methods for household size in the presence of nonresponse : applied to the Norwegian consumer expenditure survey
(Discussion Papers;No. 206, Working paper, 1997)This paper considers the problem of estimating the number of private households of various sizes and the total number of households in Norway. The approach is model-based with a population model for household size given ... -
Modeling binary panel data with nonresponse
(Discussion Papers;No. 297, Working paper, 2001)Abstract: This paper studies modeling of nonignorable nonresponse in panel surveys. A class of sequential conditional logistic models for nonresponse is considered. Model-based maximum likelihood estimation and imputation ... -
Multinomial choice and selectivity
(Discussion Papers;No 264, Working paper, 2000)In this paper we discuss two types of selection problems. The first problem is motivated by labor market analyses such as the estimation of sector-specific wage equations where the sector for which the wages are observed ... -
Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes : a quasi-likelihood approach
(Discussion Papers;614, Working paper, 2010)This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck (OU) processes to vector processes. Despite the fact that multivariate modeling of asset ... -
Non-Bayesian multiple imputation
(Discussion Papers;No. 421, Working paper, 2005)Abstract: Multiple imputation is a method specifically designed for variance estimation in the presence of missing data. Rubin’s combination formula requires that the imputation method is “proper” which essentially means ... -
Panel data with errors-in-variables : a note on essential and redundant orthogonality conditions in GMM-estimation
(Discussion Papers;No. 190, Working paper, 1997)General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more ... -
Simulated maximum likelihood using tilted importance sampling
(Discussion Papers;No. 540, Working paper, 2008)Abstract: This paper develops the important distinction between tilted and simple importance sampling as methods for simulating likelihood functions for use in simulated maximum likelihood. It is shown that tilted ... -
Two-Stage sampling from a prediction point of view
(Discussion Papers;No. 383, Working paper, 2004)Abstract: This paper considers the problem of estimating the population total in two-stage cluster sampling when cluster sizes are unknown, making use of a population model arising basically from a variance component ...