Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources of moment conditions: (i) restrictions on the...

Using panel data for 2,329 Belgian firms observed between 1985 and 1999, this paper aims at getting a better understanding of Belgian firms' investment behavior. Two main and interrelated topics are investigated: the link between financial structure and investment decision, on the one hand, the...

We propose a novel procedure, built within a Generalized Method of Moments framework, which exploits unpaired observations (singletons) to increase the efficiency of longitudinal fixed effect estimates. The approach allows increasing estimation efficiency, while properly tackling the bias due to...

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random coefficients and endogenous regressors. The quantities of interest - means, variances, and other moments of the random coefficients - are estimated by cross sectional sample moments...

We examine the effect of testing for Coronavirus on deaths in eight countries over the month of March 2020 by estimating a fixed-effect regression model using the Generalized Method of Moments (GMM). On average, the data reject the hypothesis that "testing" for the virus does not affect death....

Abstract This paper proposes a new generalized method of moments (GMM) estimator for spatial panel models with spatial moving average errors combined with a spatially autoregressive dependent variable. Monte Carlo results are given suggesting that the GMM estimator is consistent. The estimator...

This paper examines how capital is determined by German banks. We analyse whether the determinants found in the previous empirical literature hold for the special German banking sector with its three characteristic banking groups of savings banks, cooperative banks and other banks. On the basis...

GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is considered. The impact of variation in the memory length in signal and noise spread and in the degree of individual heterogeneity are discussed with respect to finite sample bias, using...

The Czech Republic has been a successful recipient of foreign direct investment over recent years. Therefore, it is important to understand the decisions made by foreign investors where to place their investments and how to decide about their location between alternative industries. The aim of...

An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...