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We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...
Persistent link: https://www.econbiz.de/10014480692
In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models … not be met by empirical data. We propose a bootstrap approach to specification testing in panel data models which is …
Persistent link: https://www.econbiz.de/10010296293
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 …
Persistent link: https://www.econbiz.de/10010300222
estimation of the popular linear fixed effects panel data model, and to supply Stata code for it. In an application from the …
Persistent link: https://www.econbiz.de/10010269751
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010282268
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010283629
estimation of the popular linear fixed effects panel data model, and to supply Stata code for it. In an application from the …
Persistent link: https://www.econbiz.de/10010286574
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument …
Persistent link: https://www.econbiz.de/10003839001
Persistent link: https://www.econbiz.de/10008664663
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