Specification testing in panel data with instrumental variables

DOI10.1016/0304-4076(94)01706-9zbMath0848.62062OpenAlexW2164928523MaRDI QIDQ1915453

Gilbert E. Metcalf

Publication date: 28 October 1996

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

Full work available at URL: http://www.nber.org/papers/t0123.pdf

zbMATH Keywords

Monte Carlo resultsspecification testsinstrumental variablessmall samplesendogenous regressorscomplete set of instrumentscorrelated fixed effectsincomplete set of instrumentspanel data sets

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Testing for Trend Specifications in Panel Data Models ⋮ Nonparametric dynamic panel data models: kernel estimation and specification testing ⋮ Testing a linear dynamic panel data model against nonlinear alternatives

Cites Work

• Generalized method of moments specification testing
• Simultaneous equations and panel data
• Instrumental-Variable Estimation of an Error-Components Model
• Alternative Models for the Analysis of Variance
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Efficient Estimation Using Panel Data
• A Remark on Hausman's Specification Test
• Panel Data and Unobservable Individual Effects
• Specification Tests in Econometrics