Projection estimators for autoregressive panel data models

DOI10.1111/1368-423X.t01-1-00093zbMath1018.62105OpenAlexW3121661820MaRDI QIDQ4416022

Frank A. G. Windmeijer, Stephen D. Bond

Publication date: 7 August 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00093

zbMATH Keywords

generalized method of momentsprojectorspanel dataAR-models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (2)

AN EFFICIENT LINEAR GMM ESTIMATOR FOR THE COVARIANCE STATIONARY AR(1)/UNIT ROOT MODEL FOR PANEL DATA ⋮ Fixed T dynamic panel data estimators with multifactor errors

Cites Work

• 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
• Multivariate regression models for panel data
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Criterion-based inference for GMM in autoregressive panel data models.

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