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...

This paper investigates the behavior of the first-difference(FD) GMM estimator for dynamic panel data models when the persistency of data is (moderately) strong and the initial conditions are unrestricted. We show that both the initial conditions and the degree of persistency affect the rate of...

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...

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...

This paper proposes a minimum distance (MD) estimator to estimate panel regression models with measurement error. The model considered is more general than examined in the literature in that (i) measurement error can be non-classical in the sense that they are allowed to be correlated with the...

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

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 show that the order of magnitude of the finite sample bias of the GMMld^{(2)} estimator of Bun and Kiviet (2006) can be reduce from O(T/N) to O(1/N) if the optimal weighting matrix is used. To demonstrate this result, we consider a model transformed by the upper triangular...