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Dynamic panels with MIDAS covariates: Nonlinearity, estimation and fit

Lynda Khalaf, Maral Kichian, Charles J. Saunders and Marcel Voia

Journal of Econometrics, 2021, vol. 220, issue 2, 589-605

Abstract: This paper introduces Mixed Data Sampling (MIDAS) into the panel data context. To address the unidentified nuisance parameter problem, we propose to invert model specification tests for inference on the MIDAS parameter along with bounds tests for model coefficients. Illustrative identification, simulation and empirical analyses are conducted in the dynamic GMM framework. Our framework allows for departures from i.i.d errors such as clustering and dynamic specifications. A simulation study and an application to a model of reserve holdings illustrate the usefulness of the proposed methods, and more broadly set a promising template for shrinkage approaches.

Keywords: Dynamic panel model; Mixed data sampling; Unidentified nuisance parameter; Reserve holdings model (search for similar items in EconPapers)
JEL-codes: C13 C15 C23 C33 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jeconom.2020.04.015

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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