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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2014
Persistent link: https://www.econbiz.de/10010511610
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
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/10010476668
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The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
Kiviet, J. F.; Pleus, Milan - 2012
Persistent link: https://www.econbiz.de/10009697731
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - 2015
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/10010480882
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015
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/10011124891
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - Faculteit Economie en Bedrijfskunde, Universiteit van … - 2014
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/10011115309
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan F. - 2015
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
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, Jan F.; Pleus, Milan; Poldermans, Rutger - Division of Economics, Nanyang Technological University - 2014
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/10011166018
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Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
Kiviet, J. F. - In: Journal of econometric methods 6 (2017) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011944572
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - In: The refinement of econometric estimation and test …, (pp. 282-318). 2007
Persistent link: https://www.econbiz.de/10003461882