In this paper, we study the finite sample behavior of over-identifying restriction test, J test, in GMM. We consider two variants of J test, one with centered weighting matrix and the other is with uncentered weighting matrix. We demonstrate that the finite sample distribution of J test with...

In this paper, we consider dynamic panel data models where the autoregressive parameter changes over time. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the ML estimator...

In this paper, we consider dynamic panel data models with heterogeneous time trends. We propose the GMM and ML estimators for this model. We conduct Monte Carlo simulation to compare the performance of these two estimators. The simulation results show that the GMM estimator performs very poorly...

In this paper, we investigate the weak instruments problem of the generalized method of moments (GMM) estimator for dynamic panel data models. Bun and Windmeijer (2010) demonstrate that the system GMM estimator combining models in first differences and levels suffers from the weak instruments...

Many previous studies report simulation evidence that the goodness-of-fit test in covariance structure analysis or structural equation modeling suffers from the over-rejection problem when the number of manifest variables is large compared with the sample size. In this study, we demonstrate that...

In this paper, we consider the instrumental variables (IV) estimation of factor models. In the psychometrics literature, although the two-stage least squares (2SLS) estimator is routinely used in IV estimation of factor models, alternative estimators have been proposed in the econometrics...

In this study, improved IV/GMM estimators for panel vector autoregressive models (VAR) are proposed by extending Hayakawa (2009b) ("A Simple Efficient Instrumental Variable Estimator in Panel AR(p) Models When Both N and T Are Large,'' Econometric Theory, 25, 873-890) in which an alternative...

This paper proposes a unit root test for short panels with serially correlated errors. The proposed test is based on the instrumental variables (IV) and the generalized method of moments (GMM) estimators. An advantage of the new test over other tests is that it allows for an ARMA type serial...

In this paper, we propose GMM estimators for short dynamic panel data models with interactive fixed effects. Moment conditions are obtained for the model where the projection method is applied to remove the correlation between regressors and interactive fixed effects. Monte Carlo simulation...

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...