Criterion-based inference for GMM in autoregressive panel data models.

DOI10.1016/S0165-1765(01)00507-9zbMath1072.62530OpenAlexW3122431990WikidataQ63353176 ScholiaQ63353176MaRDI QIDQ5958418

Frank A. G. Windmeijer, Clive G. Bowsher, Stephen D. Bond

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00507-9

zbMATH Keywords

Panel dataHypothesis testingGeneralised method of moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (4)

GMM versus GQL inferences in semiparametric linear dynamic mixed models ⋮ RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS ⋮ Projection estimators for autoregressive panel data models ⋮ Testing initial conditions in dynamic panel data models

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• 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
• GMM inference when the number of moment conditions in large
• Hypothesis Testing with Efficient Method of Moments Estimation
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• Information Theoretic Approaches to Inference in Moment Condition Models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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