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GMM for panel count data models
Windmeijer, Frank - 2006
This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are...
Persistent link: https://www.econbiz.de/10010318490
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Unit roots: Identification and testing in micro panels
Bond, Stephen; Nauges, Céline; Windmeijer, Frank - 2005
We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context....
Persistent link: https://www.econbiz.de/10010318498
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Instrumental variable estimation with heteroskedasticity and many instruments
Hausman, Jerry; Newey, Whitney; Chao, John; Swanson, Norman - 2007
It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables … estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information … maximum likelihood (LIML) and Fuller (1977, FULL) estimators; as well as heteroskedasticity consistent standard errors thereof …
Persistent link: https://www.econbiz.de/10010318511
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GMM with many weak moment conditions
Newey, Whitney K.; Windmeijer, Frank - 2005
Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small. In this paper we use alternative asymptotics, based on many weak moment...
Persistent link: https://www.econbiz.de/10010318519
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Finite sample inference for GMM estimators in linear panel data models
Bond, Stephen R.; Windmeijer, Frank - 2002
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these...
Persistent link: https://www.econbiz.de/10010318546
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice; Windmeijer, Frank - 2007
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....
Persistent link: https://www.econbiz.de/10010318586
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Local identification of nonparametric and semiparametric models
Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; … - 2012
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...
Persistent link: https://www.econbiz.de/10010318716
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Local identification of nonparametric and semiparametric models
Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; … - 2011
In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...
Persistent link: https://www.econbiz.de/10010288348
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Likelihood inference and the role of initial conditions for the dynamic panel data model
Barbosa, Jose Diogo; Moreira, Marcelo J. - 2017
Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...
Persistent link: https://www.econbiz.de/10011941423
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Linear regression for panel with unknown number of factors as interactive fixed effects
Moon, Hyungsik Roger; Weidner, Martin - 2013
In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed effects for asymptotics where both the number of time periods and the number of cross-sectional units go to infinity. Under appropriate assumptions we show that the limiting...
Persistent link: https://www.econbiz.de/10010368192