The idea of using estimating functions goes a long way back, at least to Karl Pearson's introduction to the method of moment in 1894. It is now a very active area of research in the statistics literature. One aim of this chapter is to provide an account of the developments relating to the theory...

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel data models with individual effects and both a lagged dependent variable regressor and another explanatory variable which may be affected by lagged feedbacks from the dependent...

One of the perceived advantages of difference-in-differences (DiD) methods is that they do not explicitly restrict how units select into treatment. However, when justifying DiD, researchers often argue that the treatment is "quasi-randomly" assigned. We investigate what selection mechanisms are...

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

We provide a systematic approach in obtaining an estimator asymptotically more efficient than the popular fixed effects Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we derive the optimal instrumental variables under...

We consider instrumental variables estimation of a possibly infinite order dynamic panel autoregressive (AR) process with individual effects. The estimation is based on the sieve AR approximation with its lag order increasing with sample size. Transforming the variable to eliminate individual...

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel probit models with fixed effects for the case of small T and large N. The moments used are derived for each period from a first order approximation of the mean of the dependent...

Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet's bias-corrected LSDV and GMM estimators all perform well in both short and long panels....

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...