Identification problem of GMM estimators for short panel data models with interactive fixed effects

DOI10.1016/J.ECONLET.2015.12.012zbMath1398.62364OpenAlexW3123293130MaRDI QIDQ1668021

Kazuhiko Hayakawa

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.12.012

zbMATH Keywords

identificationpanel dataGMMinteractive fixed effectsnonlinear GMM estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Related Items (2)

An incidental parameters free inference approach for panels with common shocks ⋮ Corrected standard errors for optimal minimum distance estimator

Cites Work

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• Estimating Vector Autoregressions with Panel Data
• Panel data models with multiple time-varying individual effects
• IV estimation of panels with factor residuals
• GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Panel Data Models With Interactive Fixed Effects
• Identification in Parametric Models
• GMM estimation of linear panel data models with time-varying individual effects

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