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On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

Anderson, T.W.; Kunitomo, Naoto; Matsushita, Yukitoshi - In: Journal of Econometrics 165 (2011) 1, pp. 58-69

(MEL) estimator and the generalized method of moments (GMM) (or the estimating equation) estimator. Tables and figures of …

Persistent link: https://www.econbiz.de/10011052210

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

Fanelli, Luca - In: Journal of Econometrics 170 (2012) 1, pp. 153-163

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model may have a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). The testing problem is addressed by a...

Persistent link: https://www.econbiz.de/10011052239

Spatial autoregressive models with unknown heteroskedasticity: A comparison of Bayesian and robust GMM approach

Doğan, Osman; Taşpınar, Süleyman - In: Regional Science and Urban Economics 45 (2014) C, pp. 1-21

method of moments (GMM) and the Bayesian Markov Chain Monte Carlo (MCMC) frameworks can be robust to unknown forms of … heteroskedasticity. In this study, the finite sample properties of the robust GMM estimator are compared with the estimators based on the … robust GMM estimator. In addition, two empirical applications are provided to evaluate relative performance of …

Persistent link: https://www.econbiz.de/10011052372

GMM estimation of spatial autoregressive models with moving average disturbances

Doğan, Osman; Taşpınar, Süleyman - In: Regional Science and Urban Economics 43 (2013) 6, pp. 903-926

In this paper, we introduce the one-step generalized method of moments (GMM) estimation methods considered in Lee (2007 … term. First, we determine the set of best linear and quadratic moment functions for GMM estimation. Second, we show that … the optimal GMM estimator (GMME) formulated from this set is the most efficient estimator within the class of GMMEs …

Persistent link: https://www.econbiz.de/10011052382

Efficient bootstrap with weakly dependent processes

Bravo, Francesco; Crudu, Federico - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3444-3458

The efficient bootstrap methodology is developed for overidentified moment conditions models with weakly dependent observation. The resulting bootstrap procedure is shown to be asymptotically valid and can be used to approximate the distributions of t-statistics, the J-statistic for...

Persistent link: https://www.econbiz.de/10011056425

Exploring Interlinks between Globalization and Governance: A Panel Data Evidence

Nadeem, Muhammad; Hayat, Muhammad Azmat; Nazir, Rabia - Volkswirtschaftliche Fakultät, … - 2014

covering time period from 1984 to 2011. Panel fixed effect model and Generalized Method of Moments (GMM) have been applied for …

Persistent link: https://www.econbiz.de/10011122280

Exploring Interlinks between Globalization and Governance: A Panel Data Evidence

Nadeem, Muhammad; Hayat, Muhammad Azmat; Nazir, Rabia - Volkswirtschaftliche Fakultät, … - 2014

covering time period from 1984 to 2011. Panel fixed effect model and Generalized Method of Moments (GMM) have been applied for …

Persistent link: https://www.econbiz.de/10011122283

Consistent Estimation of Linear Panel Data Models with Measurement Error

Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom J. - CESifo - 2015

offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources …

Persistent link: https://www.econbiz.de/10011122680

Estimating and forecasting with a dynamic spatial panel data model

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - London School of Economics (LSE) - 2011

Mutl (2006), a dynamic spatial GMM estimator is proposed based on Kapoor, Kelejian and Prucha (2007) for the Spatial … performance of the GMM spatial estimator to that of spatial and non-spatial estimators and illustrate our approach with an …

Persistent link: https://www.econbiz.de/10011125930

Efficient Estimation of Risk Attitude with Seminonparametric Risk Modeling

Wu, Feng; Guan, Zhengfei - Agricultural and Applied Economics Association - AAEA - 2014

equations. The GMM estimation method is then applied to input equations to estimate risk preferences. The procedure is validated …

Persistent link: https://www.econbiz.de/10011068867