Asymptotics for Panel Models with Common Shocks - Extended Version

2010 ◽  
Author(s):  
Chihwa D. Kao ◽  
Lorenzo Trapani ◽  
Giovanni Urga
Keyword(s):  
Extended Version ◽  
Panel Models ◽  
Common Shocks

scholarly journals The Asymptotics for Panel Models with Common Shocks

2006 ◽  
Author(s):  
Chihwa D. Kao ◽  
Lorenzo Trapani ◽  
Giovanni Urga
Keyword(s):  
Panel Models ◽  
Common Shocks

scholarly journals Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity

Econometrica ◽  
2020 ◽  
Vol 88 (5) ◽  
pp. 2109-2146 ◽  
Author(s):  
Guido M. Kuersteiner ◽  
Ingmar R. Prucha
Keyword(s):  
Social Interaction ◽  
Asymptotic Distribution ◽  
Network Formation ◽  
Interaction Model ◽  
Interactive Effects ◽  
Time Varying ◽  
Cross Sectional ◽  
Moment Conditions ◽  
Panel Models ◽  
Common Shocks

This paper considers a class of generalized methods of moments (GMM) estimators for general dynamic panel models, allowing for weakly exogenous covariates and cross‐sectional dependence due to spatial lags, unspecified common shocks, and time‐varying interactive effects. We significantly expand the scope of the existing literature by allowing for endogenous time‐varying spatial weight matrices without imposing explicit structural assumptions on how the weights are formed. An important area of application is in social interaction and network models where our specification can accommodate data dependent network formation. We consider an exemplary social interaction model and show how identification of the interaction parameters is achieved through a combination of linear and quadratic moment conditions. For the general setup we develop an orthogonal forward differencing transformation to aid in the estimation of factor components while maintaining orthogonality of moment conditions. This is an important ingredient to a tractable asymptotic distribution of our estimators. In general, the asymptotic distribution of our estimators is found to be mixed normal due to random norming. However, the asymptotic distribution of our test statistics is still chi‐square.

scholarly journals Asymptotics for Panel Models with Common Shocks

2012 ◽  
Vol 31 (4) ◽  
pp. 390-439 ◽  
Author(s):  
Chihwa Kao ◽  
Lorenzo Trapani ◽  
Giovanni Urga
Keyword(s):  
Panel Models ◽  
Common Shocks

Financial Constraints, Stock Returns and R&D in Indian Stock Market

2021 ◽  
pp. 097226292098839
Author(s):  
Pankaj Sinha ◽  
Priya Sawaliya
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Constraints ◽  
Fixed Effect Model ◽  
Quantitative Information ◽  
Common Shocks ◽  
External Finance ◽  
Negative Effect ◽  
Security Returns ◽  
Indian Stock Market

When the accessibility of external finance prohibits a firm from taking the optimum decision related to investment, that firm is called financially constrained. By applying the methodology of Kaplan and Zingales (1997) and Lamont et al. (2001), the current study has created a construct to gauge the level of financial constraints (FC) of the companies which emanate from quantitative information. The study explores whether FC factor is present in the Indian stock market and explores whether the security returns of those firms that are financially constrained move in tandem. The study also attempts to establish the association between security returns and R&D of financially constrained firms. On a sample of 63 R&D reporting companies of S&P BSE 500, traded over the period March 2008 to February 2019, the study used the Fama–French methodology, fixed effect model and the ordered logistic regression. The study finds that firms that are highly constrained earn more returns than low constrained firms. Second, the security returns of firms that are financially constrained move in tandem because these firms are affected by common shocks. This suggests that the FC factor exists in the Indian stock market. Finally, when R&D interacts with the level of FC, then this interaction effect has a negative effect on returns.

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