The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models

DOI10.1016/j.jeconom.2005.02.006zbMath1337.62349OpenAlexW3125097435MaRDI QIDQ291709

Maurice J. G. Bun, Jan F. Kiviet

Publication date: 10 June 2016

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

Full work available at URL: https://papers.tinbergen.nl/02101.pdf

zbMATH Keywords

Monte Carlo simulationasymptotic expansionsdynamic panel data modelbias approximationfeedback mechanisms

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric estimation (62G05)

Related Items (26)

Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large ⋮ A joint serial correlation test for linear panel data models ⋮ The optimal choice of moments in dynamic panel data models ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ On the effect of mean-nonstationarity in dynamic panel data models ⋮ A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE ⋮ Small sample bias properties of the system GMM estimator in dynamic panel data models ⋮ Panel AR(1) estimators under misspecification ⋮ Indirect inference estimation of dynamic panel data models ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure ⋮ 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 ⋮ Indirect inference for dynamic panel models ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA ⋮ The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results ⋮ Asymptotic distributions of impulse response functions in short panel vector autoregressions ⋮ Bootstrap-based bias correction for dynamic panels ⋮ The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ IV estimation of panels with factor residuals ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ Sequential and efficient GMM estimation of dynamic short panel data models ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

Cites Work

• Unnamed Item
• 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
• Formulation and estimation of dynamic models using panel data
• GMM inference when the number of moment conditions in large
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• On the diminishing returns of higher-order terms in asymptotic expansions of bias
• Estimating dynamic panel data models: A guide for macroeconomists
• Panel Data Econometrics
• 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

This page was built for publication: The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models