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...

This study considers the instrumental variable estimation of factor models. Specifically, we investigate the weak instruments problem, which is not well investigated in the literature, in detail. We show that the signal-to-noise ratios, which are defined by the variance ratios of the common...

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...

In this paper, we propose instrumental variables (IV) and generalized method of moments (GMM) estimators for panel data models with weakly exogenous variables. The model is allowed to include heterogeneous time trends besides the standard fixed effects. The proposed IV and GMM estimators are...