ML and GMM with concentrated instruments in the static panel data model
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Publication:5860986
DOI10.1080/07474938.2019.1580946zbMath1490.62416OpenAlexW2613702455MaRDI QIDQ5860986
Jelle van Essen, Paul A. Bekker
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2019.1580946
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Some properties of the LIML estimator in a dynamic panel structural equation
- Simple many-instruments robust standard errors through concentrated instrumental variables
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Jackknife instrumental variable estimation with heteroskedasticity
- The Oxford Handbook of Panel Data
- Alternative Approximations to the Distributions of Instrumental Variable Estimators
- Instrumental variable estimation with heteroskedasticity and many instruments
- 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
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- LIML in the static linear panel data model
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