GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA

DOI10.1017/S0266466608090531zbMath1286.62075MaRDI QIDQ5411520

Hugo Kruiniger

Publication date: 23 April 2014

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (14)

Likelihood ratio tests for a unit root in panels with random effects ⋮ Estimation of dynamic panel data models with a lot of heterogeneity ⋮ On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions ⋮ Neighbourhood GMM estimation of dynamic panel data models ⋮ Lessons from a Decade of IPS and LLC ⋮ IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Long difference instrumental variables estimation for dynamic panel models with fixed effects ⋮ DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY ⋮ The weak instrument problem of the system GMM estimator in dynamic panel data models ⋮ Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions ⋮ RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS ⋮ Unit root test for short panels with serially correlated errors ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ A simple test for nonstationarity in mixed panels: a further investigation

Cites Work

• Initial conditions and moment restrictions in dynamic panel data models
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• Another look at the instrumental variable estimation of error-components models
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• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
• ON THE BIMODALITY OF THE EXACT DISTRIBUTION OF THE TSLS ESTIMATOR
• THE DISTRIBUTION OF THE INDEX IN A NORMAL BIVARIATE POPULATION
• Instrumental Variables Regression with Weak Instruments
• Linear Regression Limit Theory for Nonstationary Panel Data
• Ratios of Normal Variables and Ratios of Sums of Uniform Variables
• GMM with Many Moment Conditions
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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