On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions

DOI10.1016/j.csda.2015.03.007zbMath1466.62090OpenAlexW3123275159MaRDI QIDQ1659119

Kazuhiko Hayakawa, Shuichi Nagata

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.03.007

zbMATH Keywords

initial conditionsGMMweak instrumentsdynamic panel data modelsstrong persistency

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

The single-index panel data models with heterogeneous link function: mixture approach ⋮ Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators ⋮ Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels ⋮ Testing initial conditions in dynamic panel data models

Cites Work

• Unnamed Item
• Unnamed Item
• Estimating Vector Autoregressions with Panel Data
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Discontinuities of weak instrument limiting distributions.
• Detection of structural breaks in linear dynamic panel data models
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• On the effect of mean-nonstationarity in dynamic panel data models
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• Instrumental Variables Regression with Weak Instruments
• Panel Data Econometrics
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations