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Spatial dynamic panel model and system GMM : a Monte Carlo investigation
Kukenova, Madina; Monteiro, José-Antonio - 2009 - Draft: February 2009
This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … suggest that, in order to account for the endogeneity of several covariates, spatial dynamic panel models should be estimated …
Persistent link: https://www.econbiz.de/10011976850
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Spatial Dynamic Panel Model and System GMM : A Monte Carlo Investigation
Kukenova, Madina; Monteiro, José-Antonio - 2009
This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … account for the endogeneity of several covariates, spatial dynamic panel models should be estimated using extended GMM. On a …
Persistent link: https://www.econbiz.de/10014047051
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Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both N and T are Large
Hahn, Jinyong; Kuersteiner, Guido M. - 2003
We consider a dynamic panel AR(1) model with fixed effects when both "n" and "T" are large. Under the "T fixed n large …
Persistent link: https://www.econbiz.de/10014130188
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10009570680
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Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10009545313
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Inference for Iterated GMM Under Misspecification and Clustering
Hansen, Bruce E.; Lee, Seojeong - 2019
This paper develops a new distribution theory and inference methods for over-identified Generalized Method of Moments (GMM) estimation focusing on the iterated GMM estimator, allowing for moment misspecification, and for clustered dependence with heterogeneous and growing cluster sizes. This...
Persistent link: https://www.econbiz.de/10014033687
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Panel Data Quantile Regression for Treatment Effect Models
Ishihara, Takuya - 2021
stationarity assumptions. Ishihara (2020) explores identification of the nonseparable panel data model under these assumptions and …
Persistent link: https://www.econbiz.de/10013314378
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Testing Endogeneity of Spatial Weights Matrices in Spatial Dynamic Panel Data Models
Lee, Jieun - 2022
dynamic panel data (SDPD) model (Qu, Lee, and Yu, 2017). I firstly introduce the bias-corrected score function since the score …
Persistent link: https://www.econbiz.de/10013491649
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Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
Gao, Jiti; Chen, Jia; Li, Degui - 2010
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis …
Persistent link: https://www.econbiz.de/10014191157
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A solution to the problem of too many instruments in dynamic panel data GMM
Mehrhoff, Jens - 2009
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument …
Persistent link: https://www.econbiz.de/10003839001