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Sensitivity analysis of inference in GMM estimation with possibly-flawed moment conditions
Ashley, Richard A.; Parmeter, Christopher F. - 2013
Persistent link: https://www.econbiz.de/10010225523
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Identification of coefficients in a quadratic moving average process using the generalized method of moments : preliminary
Ashley, Richard A. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002092126
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Subset-continuous-updating GMM estimators for dynamic panel data models
Ashley, Richard A.; Sun, Xiaojin - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen,...
Persistent link: https://www.econbiz.de/10011650481
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A Subset-Continuous-Updating Transformation on GMM Estimators for Dynamic Panel Data Models
Ashley, Richard A. - 2016
The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have been widely used in empirical work; however, neither of them performs well in small samples with weak instruments. The continuous-updating GMM estimator proposed by Hansen,...
Persistent link: https://www.econbiz.de/10013000248
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A Transformed System GMM Estimator for Dynamic Panel Data Models
Sun, Xiaojin; Ashley, Richard A. - 2015
The system GMM estimator developed by Blundell and Bond (1998) for dynamic panel data models has been widely used in empirical work; however, it does not perform well with weak instruments. This paper proposes a variation on the system GMM estimator, based on a simple transformation of the...
Persistent link: https://www.econbiz.de/10014148410