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. Estimation and inference can, however, be carried out with the generalized method of moments (GMM) by suitably aggregating … assumptions are proposed in the literature - often lacking a thorough discussion of the implications for estimation and inference … conditions required to establish identification and consistency, derive the asymptotic properties, and carry out inference for …
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We study the estimation of the lag parameter of linear dynamic panel data models with first order dynamics based on the quadratic Ahn and Schmidt (1995) moment conditions. Our contribution is twofold: First, we show that extending the standard assumptions by mean stationarity and time series...
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conditional likelihood ratio test confidence set identification inference moment conditions robust singular variance subvector …
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