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Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors

Kripfganz, Sebastian - 2015

We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors...

Persistent link: https://www.econbiz.de/10013016951

Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors

Kripfganz, Sebastian - 2016

This paper considers estimation methods and inference for linear dynamic panel data models with unit … depth does not. Finally, we estimate a dynamic Mincer equation with data from the Panel Study of Income Dynamics to …

Persistent link: https://www.econbiz.de/10012988776

On the Bias of the LSDV Estimator in Dynamic Panel Data Models with Endogenous Regressors

Kurennoy, Alexey - 2014

This paper studies the behaviour of the bias corrected LSDV estimator and GMM-based estimators in dynamic panel data …

Persistent link: https://www.econbiz.de/10013043512

Panel data estimators and aggregation

Biørn, Erik - 2016

For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period …

Persistent link: https://www.econbiz.de/10011585187

Biases in GLS Estimators for Dynamic Panel Data Models Allowing Cross-Sectional Heteroscedasticity

Abdullah, Muhammad - 2017

problems even the generalized least squares estimator for the dynamic panel data models allowing cross sectional …

Persistent link: https://www.econbiz.de/10012967315

The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

Matyas, Laszlo; Harris, Mark N.; Pataki, Attila - 2001

". However, if these are not valid, misspecified model result. This paper considers consistent estimation of the dynamic panel …

Persistent link: https://www.econbiz.de/10014139689

Judging Contending Estimators by Simulation : Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - 2006

dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …

Persistent link: https://www.econbiz.de/10014060519

The Effects of Dynamic Feedbacks on Ls and Mm Estimator Accuracy in Panel Data Models

Bun, Maurice J. G.; Kiviet, Jan F. - 2002

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel …

Persistent link: https://www.econbiz.de/10014104029

Estimation of Panel Data Models with Cross-Sectionally Heteroskedastic Data

Ahn, Seung C.; Zhang, Xiangyu - 2023

Panel data models with cross-sectionally heteroskedastic data often suffer from the well-known incidental parameters … Pesaran (2015, Journal of Econometrics) can consistently estimate the structural parameters in the panel data models with … unknown common factors or dynamic panel models with fixed individual entity-specific effects …

Persistent link: https://www.econbiz.de/10014348689

Estimating linear dynamic panels with recentered moments

Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...

Persistent link: https://www.econbiz.de/10014636394