Alternative GMM estimators for first-order autoregressive panel model: An improving efficiency approach

DOI10.1080/03610918.2015.1073307zbMath1373.62573OpenAlexW2230372916MaRDI QIDQ5358364

Mohamed R. Abonazel, Ahmed Youssef

Publication date: 20 September 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/68674/1/MPRA_paper_68674.pdf

zbMATH Keywords

generalized method of momentsMonte Carlo simulationdynamic panel dataKantorovich inequality upper boundoptimal and suboptimal weighting matrices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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