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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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Estimation of higher-order spatial autoregressive panel data error component models
Badinger, Harald; Egger, Peter - 2009
This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …
Persistent link: https://www.econbiz.de/10003808637
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Almost consistent estimation of panel probit models with "small" fixed effects
Laisney, François; Lechner, Michael - 2002
We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …
Persistent link: https://www.econbiz.de/10011447728
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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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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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Profile GMM Estimation of Panel Data Models with Interactive Fixed Effects
Hong, Shengjie; Su, Liangjun; Jiang, Tao - 2022
This paper studies panel data models with interactive fixed effects where the regressors are allowed to be correlated …
Persistent link: https://www.econbiz.de/10014077905
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IV, GMM or Likelihood Approach to Estimate Dynamic Panel Models When Either N or T or Both Are Large
Hsiao, Cheng - 2015
We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both …
Persistent link: https://www.econbiz.de/10013028926
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Identification robust inference for moments based analysis of linear dynamic panel data models
Kleibergen, Frank R. - 2021
panel data model, do not separately identify the autoregressive parameter when its true value is close to one and the …
Persistent link: https://www.econbiz.de/10013227367
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Estimating linear dynamic panels with recentered moments
Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48
This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...
Persistent link: https://www.econbiz.de/10014636394