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Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator
Blundell, Richard; Bond, Steve; Windmeijer, Frank - 2000
This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the system GMM estimator that relies on relatively mild restrictions on the initial condition process. This system GMM estimator...
Persistent link: https://www.econbiz.de/10010330329
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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2010
We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.The...
Persistent link: https://www.econbiz.de/10010288373
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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2010
We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.The...
Persistent link: https://www.econbiz.de/10003989911
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A comparison of bias approximations for the two-stage least squares (2SLS) estimator
Bun, Maurice J. G.; Windmeijer, Frank - In: Economics letters 113 (2011) 1, pp. 76-79
Persistent link: https://www.econbiz.de/10009303150
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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
This chapter reviews developments to improve on the poor performance of the standard GMM estimator for highly autoregressive panel series. It considers the use of the system GMM estimator that relies on relatively mild restrictions on the initial condition process. This system GMM estimator...
Persistent link: https://www.econbiz.de/10011537713
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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
Persistent link: https://www.econbiz.de/10001483382
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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 - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 53-91). 2000
Persistent link: https://www.econbiz.de/10001583116
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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2011
Persistent link: https://www.econbiz.de/10010190657