The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument …

estimation of the popular linear fixed effects panel data model, and to supply Stata code for it. In an application from the …. -- Robust estimation ; panel data ; outliers ; Stata ; exporter productivity premium …

In panel data econometrics the Hausman test is of central importance to select an e±cient estimator of the models … not be met by empirical data. We propose a bootstrap approach to specification testing in panel data models which is …

estimation of the popular linear fixed effects panel data model, and to supply Stata code for it. In an application from the …. -- Robust estimation ; panel data ; outliers ; Stata ; exporter productivity premium …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … that are robust to cross-sectional heteroskedasticity of unknown form. By means of Monte Carlo simulation, we investigate … proposed in the literature. Simulation results reveal that, in terms of median absolute errors and accuracy of inference, the …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … that are robust to cross-sectional heteroskedasticity of unknown form. By means of Monte Carlo simulation, we investigate … proposed in the literature. Simulation results reveal that, in terms of median absolute errors and accuracy of inference, the …