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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
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 to extend to the panel data GMM estimators. …
Persistent link: https://www.econbiz.de/10011379149
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Criterion-based inference for GMM in autoregressive panel data models
Bond, Stephen (contributor); Bowsher, Clive (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001545011
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2013
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10010200387
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
variance. In a Monte Carlo study of a panel data model it is shown that the corrected variance estimate approximates the final …
Persistent link: https://www.econbiz.de/10011537937
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003433485
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003434193
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The weak instrument problem of the system GMM estimator in dynamic panel data models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
Persistent link: https://www.econbiz.de/10003913186
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GMM for panel count data models
Windmeijer, Frank (contributor) - 2006
Persistent link: https://www.econbiz.de/10003385789
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GMM for panel count data models
Windmeijer, Frank (contributor) - 2006
Persistent link: https://www.econbiz.de/10003387914
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Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator
Blundell, Richard W.; Bond, Stephen; Windmeijer, Frank - 2000
autoregressive panel series. It considers the use of the system GMM estimator that relies on relatively mild restrictions on the … sample bias. An application to panel production function data for the US is provided and confirms these theoretical and …
Persistent link: https://www.econbiz.de/10011537713