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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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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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Wild Multiplicative Bootstrap for M and GMM Estimators in Time Series
Audrino, Francesco; Camponovo, Lorenzo; Roth, Constantin - 2019
We introduce a wild multiplicative bootstrap for M and GMM estimators in nonlinear models when autocorrelation structures of moment functions are unknown. The implementation of the bootstrap algorithm does not require any parametric assumptions on the data generating process. After proving its...
Persistent link: https://www.econbiz.de/10014106743
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Higher-Order Improvements of a Computationally Attractive K-Step Bootstrap for Extremum Estimators
Andrews, Donald W. K. - 2000
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear...
Persistent link: https://www.econbiz.de/10014164441
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan F. - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10013028784
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Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects
Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …
Persistent link: https://www.econbiz.de/10010358963
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Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Hayakawa, Kazuhiko - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10013105008
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Testing for a Structural Break in Dynamic Panel Data Models with Common Factors
Zhu, Huanjun - 2015
This paper develops a method for testing for the presence of a single structural break in panel data models with …
Persistent link: https://www.econbiz.de/10013014830
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943386
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943450