Publications of Lovrics, L.

Kőrösi G, Lovrics L, Mátyás L. Aggregation And The Long-Run Properties Of Economic Time-Series. In: MSSA/IMAC 10th Biennial Conference on Modelling and Simulation. Perth, Australia; 1993. p. 279-86.

Simultaneous error components models when panel data are incomplete

The purpose of this paper is to investigate the loss of efficiency of the simultaneous error components model's estimators in the case of incomplete panels. The static and the dynamic cases were analysed, when from a panel data base those individuals are dropped for which the observations are not complete.

Missing observations and panel data: a Monte-Carlo analysis

By means of Monte Carlo experiments the loss of efficiency of the main error components' models estimators is analyzed if from a panel data base those individuals are dropped for which the observations are not complete. An empirical risk function has been estimated. This can help to measure the risk of the use of complete sub-panels instead of the original but incomplete ones.

Small sample properties of simultaneous error components models

The purpose of this paper is to investigate the small properties of the simultaneous error components model's estimators in the static case, and to analyze the small and "semi-asymptotic" properties of these estimators in the dynamic case.