Tom Wansbeek
Datos Biográficos
| ID | 5935522 |
|---|---|
| NOMBRE | Tom Wansbeek |
| NOMBRES | Tom |
| APELLIDO | Wansbeek |
| FIRMA | WANSBEEK T |
| AFILIACIONES | University of Groningen |
| ORCID | 0000-0003-1365-3310 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 10 |
| TOTAL DE CITAS | 26 |
| TOTAL COMO AUTOR | 10 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 1979 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2025 |
| ÍNDICE H | 2 |
Handling multiple proxies
Substituting a proxy for an unobservable variable without further ado is common practice in applied econometric work. When more than one proxy is available, the question arises how to best handle them. Although the case often occurs in practice, the literature on this question is scarce. It started with Lubotsky and Wittenberg (2006) and was later on expanded by Bollinger and Minier (2015). We extend their work in various ways. We present an alte…
Unbiased estimation of the OLS covariance matrix when the errors are clustered
When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper, we derive an estimator that is unbiased when the random-effects model holds. We do the same for two more general structures. We study the usefulness of these estimators against others by simulation, the size of the t -test being the criterion. Our findings suggest that th…
How measurement error affects inference in linear regression
Measurement error biases OLS results. When the measurement error variance in absolute or relative (reliability) form is known, adjustment is simple. We link the (known) estimators for these cases to GMM theory and provide simple derivations of their standard errors. Our focus is on the test statistics. We show monotonic relations between the t -statistics and $$R^2$$ R 2 s of the (infeasible) estimator if there was no measurement error, the incon…
Cross-Sectional Dependence in Panel Data Analysis
This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and strong CSD and link these concepts to the spatial and factor structure approaches. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for CSD and methods for determining the number of factors are discussed in detail.…
Measuring central bank independence
We argue that central bank independence (CBI) is a latent variable of which the various existing quantifications are imperfect indicators. We show how factor analysis techniques can be employed to assess the quality of the various indicators, and how an optimal weighting of the indicators can be obtained that gives the best approximation of CBI. We also show how these results can be utilized in models in which CBI is an explanatory variable. In c…
The APT Model as Reduced-Rank Regression
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced-rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. We give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersized samples (more assets than time periods) can be dealt with
The individual welfare function
The individual welfare function
Empirical evidence on preference formation
Maximizing or Satisficing
T HE hypothesis that maximization underlies human behaviour is perhaps the most widely accepted paradigm among economists. Particularly in the study of consumer behaviour, numerous models have been built upon the hypothesis of maximization. Reviews of these models can inter alia be found in Houthakker (1961), Brown and Deaton (1972) and Barten (1977). The testing of the maximization hypothesis (HM) in real life situations appears to be a complica…
The individual welfare function
Empirical evidence on preference formation
Measuring central bank independence
We argue that central bank independence (CBI) is a latent variable of which the various existing quantifications are imperfect indicators. We show how factor analysis techniques can be employed to assess the quality of the various indicators, and how an optimal weighting of the indicators can be obtained that gives the best approximation of CBI. We also show how these results can be utilized in models in which CBI is an explanatory variable. In c…
Maximizing or Satisficing
T HE hypothesis that maximization underlies human behaviour is perhaps the most widely accepted paradigm among economists. Particularly in the study of consumer behaviour, numerous models have been built upon the hypothesis of maximization. Reviews of these models can inter alia be found in Houthakker (1961), Brown and Deaton (1972) and Barten (1977). The testing of the maximization hypothesis (HM) in real life situations appears to be a complica…
Empirical evidence on preference formation
The individual welfare function
The individual welfare function
The APT Model as Reduced-Rank Regression
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced-rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. We give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersized samples (more assets than time periods) can be dealt with
Measuring central bank independence
We argue that central bank independence (CBI) is a latent variable of which the various existing quantifications are imperfect indicators. We show how factor analysis techniques can be employed to assess the quality of the various indicators, and how an optimal weighting of the indicators can be obtained that gives the best approximation of CBI. We also show how these results can be utilized in models in which CBI is an explanatory variable. In c…
Cross-Sectional Dependence in Panel Data Analysis
This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and strong CSD and link these concepts to the spatial and factor structure approaches. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for CSD and methods for determining the number of factors are discussed in detail.…
How measurement error affects inference in linear regression
Measurement error biases OLS results. When the measurement error variance in absolute or relative (reliability) form is known, adjustment is simple. We link the (known) estimators for these cases to GMM theory and provide simple derivations of their standard errors. Our focus is on the test statistics. We show monotonic relations between the t -statistics and $$R^2$$ R 2 s of the (infeasible) estimator if there was no measurement error, the incon…
Unbiased estimation of the OLS covariance matrix when the errors are clustered
When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper, we derive an estimator that is unbiased when the random-effects model holds. We do the same for two more general structures. We study the usefulness of these estimators against others by simulation, the size of the t -test being the criterion. Our findings suggest that th…
Handling multiple proxies
Substituting a proxy for an unobservable variable without further ado is common practice in applied econometric work. When more than one proxy is available, the question arises how to best handle them. Although the case often occurs in practice, the literature on this question is scarce. It started with Lubotsky and Wittenberg (2006) and was later on expanded by Bollinger and Minier (2015). We extend their work in various ways. We present an alte…
Econometrics (7 obras) · Mathematics (7 obras) · Statistics (7 obras) · Economics (6 obras) · Estimator (5 obras) · Computer Science (4 obras) · Economics of Agriculture and Food Markets (4 obras) · Biology (3 obras) · Function (biology (3 obras) · Gender, Labor, and Family Dynamics (3 obras)