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Almost consistent estimation of panel probit models with "small" fixed effects

Laisney, François; Lechner, Michael - 2002

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...

Persistent link: https://www.econbiz.de/10011447728

GMM estimation with persistent panel data : an application to production functions

Blundell, Richard W.; Bond, Stephen - 1999

We consider the estimation of Cobb-Douglas production functions using panel data covering a large sample of companies observed for a small number of time periods. Standard GMM estimators, which eliminate unobserved firm-specific e¤ects by taking first differences, have been found to produce...

Persistent link: https://www.econbiz.de/10011538404

Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators

Inkmann, Joachim - 1999

This paper compares generalized method of moments (GMM) and simulated maximum likeli- hood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance...

Persistent link: https://www.econbiz.de/10011545114

The performance of panel cointegration methods: Results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

Persistent link: https://www.econbiz.de/10010293988

Unit roots and cointegration in panels

Breitung, Jörg; Pesaran, Mohammad Hashem - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

Persistent link: https://www.econbiz.de/10010295787