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Persistent link: https://www.econbiz.de/10006769402
The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...
Persistent link: https://www.econbiz.de/10013028784
Persistent link: https://www.econbiz.de/10003171305
An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...
Persistent link: https://www.econbiz.de/10014060519
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10013097341