GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects

DOI10.14490/jjss.42.109OpenAlexW3121949660MaRDI QIDQ2858119

Kazuhiko Hayakawa

Publication date: 19 November 2013

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=42_109&screenID=AF06S010&noVol=42&noIssue=2

zbMATH Keywords

projection methodpanel dataGMMfactor structureinteractive fixed effects

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

Identification problem of GMM estimators for short panel data models with interactive fixed effects ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Corrected standard errors for optimal minimum distance estimator ⋮ Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

This page was built for publication: GMM Estimation of Short Dynamic Panel Data Models with Interactive Fixed Effects