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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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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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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2013
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e., (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10009692018
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Specification tests for partially identified models defined by moment inequalities
Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 6.0: April 4, 2014
This paper studies the problem of specification testing in partially identified models defined by a finite number of moment equalities and inequalities (i.e. (in)equalities). Under the null hypothesis, there is at least one parameter value that simultaneously satisfies all of the moment...
Persistent link: https://www.econbiz.de/10010340367
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Does testing for coronavirus reduce deaths?
Razzak, Weshah A. - 2020
We examine the effect of testing for Coronavirus on deaths in eight countries over the month of March 2020 by estimating a fixed-effect regression model using the Generalized Method of Moments (GMM). On average, the data reject the hypothesis that "testing" for the virus does not affect death....
Persistent link: https://www.econbiz.de/10012437672
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Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models
Bond, Stephen R.; Windmeijer, Frank - 2005
We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The …
Persistent link: https://www.econbiz.de/10014064498
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Specification tests for spatial panel data models
Bera, Anil K.; Doğan, Osman; Taṣpınar, Süleyman; … - 2020
Persistent link: https://www.econbiz.de/10012271721
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Generalized information matrix tests for detecting model misspecification
Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...
Persistent link: https://www.econbiz.de/10011650480
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A correction function approach to solve the incidental parameter problem
Li, Guangjie; Leon-Gonzalez, Roberto - 2009
under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …
Persistent link: https://www.econbiz.de/10003817215
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …
Persistent link: https://www.econbiz.de/10009736650