Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation

DOI10.1016/0304-4076(95)01793-3zbMath0873.62124OpenAlexW2001756508MaRDI QIDQ1362041

O. Diekmann

Publication date: 3 August 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01793-3

zbMATH Keywords

generalized method of momentspanel datastationaritycovariance restrictionsconditional moment testsestimation of dynamic modelslinearized estimatornonlinear GMM estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (22)

Estimation of long-run inefficiency levels: a dynamic frontier approach ⋮ GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model ⋮ AN EFFICIENT LINEAR GMM ESTIMATOR FOR THE COVARIANCE STATIONARY AR(1)/UNIT ROOT MODEL FOR PANEL DATA ⋮ Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ Efficiency Measure from Dynamic Stochastic Production Frontier: Application to Tunisian Textile, Clothing, and Leather Industries ⋮ A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE ⋮ Estimation of dynamic panel data models with a lot of heterogeneity ⋮ Case deletion diagnostics for GMM estimation ⋮ Consistent estimation of linear panel data models with measurement error ⋮ A study on the persistence of Farrell's efficiency measure under a dynamic framework ⋮ Level-based estimation of dynamic panel models ⋮ Detection of structural breaks in linear dynamic panel data models ⋮ Identification of dynamic binary response models ⋮ Long difference instrumental variables estimation for dynamic panel models with fixed effects ⋮ GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA ⋮ Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions ⋮ Projection estimators for autoregressive panel data models ⋮ ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION ⋮ Measuring dynamic efficiency: theories and an integrated methodology ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

• Unnamed Item
• Estimating Vector Autoregressions with Panel Data
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Generalized method of moments specification testing
• Estimating systems of equations with different instruments for different equations
• Efficient Estimation Using Panel Data
• Estimation of Dynamic Models with Error Components
• A separability result for gmm estimation, with applications to gls prediction and conditional moment tests
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

This page was built for publication: Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation