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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 … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator. …
Persistent link: https://www.econbiz.de/10010318586
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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 … recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two …
Persistent link: https://www.econbiz.de/10010318546
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Identification in a binary choice panel data model with a predetermined covariate
Bonhomme, Stéphane; Dano, Kevin; Graham, Bryan S. - 2023
We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …
Persistent link: https://www.econbiz.de/10014480540
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Bias corrections for two-step fixed effects panel data estimators
Fernández-Val, Iván; Vella, Francis - 2007
This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time …
Persistent link: https://www.econbiz.de/10010318527
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Robust priors in nonlinear panel data models
Arellano, Manuel; Bonhomme, Stéphane - 2006
Many approaches to estimation of panel models are based on an average or integrated likelihood that assigns weights to …
Persistent link: https://www.econbiz.de/10010318579
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...
Persistent link: https://www.econbiz.de/10010368194
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010368196
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Inference for functions of partially identified parameters in moment inequality models
Bugni, Federico; Canay, Ivan; Shi, Xiaoxia - 2014
This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...
Persistent link: https://www.econbiz.de/10010368201
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A bootstrap test for instrument validity in heterogeneous treatment effect models
Kitagawa, Toru - 2013
This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...
Persistent link: https://www.econbiz.de/10010368206
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A discrete model for bootstrap iteration
Davidson, Russell - 2015
In an attempt to free bootstrap theory from the shackles of asymptotic considerations, this paper studies the possibility of justifying, or validating, the bootstrap, not by letting the sample size tend to infinity, but by considering the sequence of bootstrap P values obtained by iterating the...
Persistent link: https://www.econbiz.de/10011445744