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The Robustness of Estimators for Dynamic Panel Data Models to Misspecification
Matyas, Laszlo; Harris, Mark N.; Pataki, Attila - 2001
". However, if these are not valid, misspecified model result. This paper considers consistent estimation of the dynamic panel …
Persistent link: https://www.econbiz.de/10014139689
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Judging Contending Estimators by Simulation : Tournaments in Dynamic Panel Data Models
Kiviet, Jan F. - 2006
dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …
Persistent link: https://www.econbiz.de/10014060519
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54
panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between …
Persistent link: https://www.econbiz.de/10011654182
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Fixed Effects versus Random Effects Estimation of Dynamic Panel Data Models
Kruiniger, Hugo - 2019
This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual …
Persistent link: https://www.econbiz.de/10012901424
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Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structur e
Norkuté, Milda; Sarafidis, Vasilis; Yamagata, Takashi - 2018
This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with … estimators in dynamic panel data models. The finite sample performance of the proposed estimator is investigated using simulated …
Persistent link: https://www.econbiz.de/10011804740
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …
Persistent link: https://www.econbiz.de/10011348362
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
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Estimation of linear dynamic panel data models with time-invariant regressors : conference paper
Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013
This paper considers estimation methods and inference for linear dynamic panel data models with unit …
Persistent link: https://www.econbiz.de/10010342822
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Consistency in estimation and model selection of dynamic panel data models with fixed effects
Li, Guangjie - In: Econometrics : open access journal 3 (2015) 3, pp. 494-524
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …
Persistent link: https://www.econbiz.de/10011297557
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pca2 : implementing a strategy to reduce the instrument count in panel GMM
Bontempi, Maria Elena; Mammi, Irene - 2014
the PCA scores are used as instruments for the panel generalized method-of-moments (GMM) estimation. This strategy is …
Persistent link: https://www.econbiz.de/10011716035