This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009, Oxford Bull. Econ. Statist.). The present paper goes one step further by providing a solution to this problem: factorisation of the standard instrument set is shown to be a valid...

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009, Oxford Bull. Econ. Statist.). The present paper goes one step further by providing a solution to this problem: factorisation of the standard instrument set is shown to be a valid...

This paper introduces two easy to calculate estimators with desirable properties for theautoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the time-series or cross-section dimension.

Moment conditions are derived for dynamic linear panel data models with linear individual specific effects in the mean and multiplicative individual effects in the conditional ARCH type variance function. The relation and correlation between the linear and multiplicative effects are...

We quantify the importance of precautionary labor supply using data from the German Socio- Economic Panel (SOEP) for 2001-2012. We estimate dynamic labor supply equations augmented with a measure of wage risk. Our results show that married men choose about 2.5% of their hours of work or one week...

This paper investigates the major drivers of governmental redistribution. We retest the Meltzer-Richard hypothesis and account for a plethora of political, institutional, and cultural forces that influence the scope of redistribution. Extended and harmonized data on effective redistribution...

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of selection bias. Specifically, they propose a Wald test for...

The authors address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as fully modified ordinary least squares and...

The paper compares different estimation strategies of ordered response models in the presence of non-random unobserved heterogeneity. By running Monte Carlo simulations with a range of randomly generated panel data of differing cross-sectional and longitudinal dimension sizes, we assess the...