Estimation of dynamic panel data models with a lot of heterogeneity

DOI10.1080/07474938.2021.1899507zbMath1490.62459OpenAlexW3195264229MaRDI QIDQ5065202

Hugo Kruiniger

Publication date: 18 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2021.1899507

zbMATH Keywords

fixed effectsdynamic panel dataGMMweak moment conditionslocal asymptoticsquasi MLredundant moment conditions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• UNDERID

Cites Work

• 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
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Formulation and estimation of dynamic models using panel data
• Redundancy of moment conditions
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Efficient estimation of panel data models with sequential moment restrictions
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• On the effect of mean-nonstationarity in dynamic panel data models
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Analysis of Covariance with Qualitative Data
• Specification Tests in Econometrics
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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