Neighbourhood GMM estimation of dynamic panel data models

DOI10.1016/J.CSDA.2015.11.015zbMath1466.62188OpenAlexW2269591692MaRDI QIDQ1659141

Vasilis Sarafidis

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.2015.11.015

zbMATH Keywords

dynamic panel datageneralised method of momentsspatial dependence

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 (4)

The single-index panel data models with heterogeneous link function: mixture approach ⋮ Moment redundancy test with application to efficiency-improving copulas ⋮ A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors ⋮ Fixed T dynamic panel data estimators with multifactor errors

Cites Work

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• Panel data models with spatially correlated error components
• Redundancy of moment conditions
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• Detection of structural breaks in linear dynamic panel data models
• IV estimation of panels with factor residuals
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• On the effect of mean-nonstationarity in dynamic panel data models
• The Oxford Handbook of Panel Data
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• On the impact of error cross-sectional dependence in short dynamic panel estimation
• Estimation of Dynamic Models with Error Components
• Stochastic Limit Theory
• Panel Data Econometrics
• Cross-Sectional Dependence in Panel Data Analysis
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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