First difference or forward demeaning: Implications for the method of moments estimators

DOI10.1080/07474938.2017.1307594OpenAlexW2600794510MaRDI QIDQ5864653

Qiankun Zhou, Cheng Hsiao

Publication date: 8 June 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2017.1307594

zbMATH Keywords

generalized method of momentsdynamic panel data modelinstrumental variable estimationfirst differenceforward demeaning

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS ⋮ Indirect inference estimation of dynamic panel data models ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models ⋮ Double filter instrumental variable estimation of panel data models with weakly exogenous variables

Cites Work

• Another look at the instrumental variable estimation of error-components models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
• A note on transformed likelihood approach in linear dynamic panel models
• Statistical inference for panel dynamic simultaneous equations models
• Formulation and estimation of dynamic models using panel data
• Eigenvalues of tridiagonal pseudo-Toeplitz matrices
• Analysis of Panel Data
• Estimation of Dynamic Models with Error Components
• Inequalities for the trace of matrix product
• 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

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