The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

DOI10.1111/1468-0262.00441zbMath1153.62353OpenAlexW2074046543MaRDI QIDQ5472979

Javier Alvarez, Manuel Arellano

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://www.cemfi.es/ftp/wp/9808.pdf

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (96)

Testing slope homogeneity in large panels ⋮ The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models ⋮ Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large ⋮ The optimal choice of moments in dynamic panel data models ⋮ On the effect of mean-nonstationarity in dynamic panel data models ⋮ On the semi-varying coefficient dynamic panel data model with autocorrelated errors ⋮ A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE ⋮ JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS ⋮ Dynamic panels with threshold effect and endogeneity ⋮ Challenges for Panel Financial Analysis ⋮ Improved GMM estimation of panel VAR models ⋮ On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions ⋮ Many IVs estimation of dynamic panel regression models with measurement error ⋮ Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Bias-corrected estimation of panel vector autoregressions ⋮ NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS ⋮ Half-panel jackknife estimation for dynamic panel models ⋮ Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large ⋮ A James-Stein-type adjustment to bias correction in fixed effects panel models ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Statistical inference for panel dynamic simultaneous equations models ⋮ Time-specific average estimation of dynamic panel regressions ⋮ Panel AR(1) estimators under misspecification ⋮ On the unbiased asymptotic normality of quantile regression with fixed effects ⋮ Machine learning panel data regressions with heavy-tailed dependent data: theory and application ⋮ Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators ⋮ Indirect inference estimation of dynamic panel data models ⋮ SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Testing for Trend Specifications in Panel Data Models ⋮ On the use of the Helmert transformation, and its applications in panel data econometrics ⋮ Methods for strengthening a weak instrument in the case of a persistent treatment ⋮ LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS ⋮ Estimating dynamic panel data discrete choice models with fixed effects ⋮ Long difference instrumental variables estimation for dynamic panel models with fixed effects ⋮ Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure ⋮ Export and total factor productivity of EU new member states ⋮ ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS ⋮ Bootstrap inference for linear dynamic panel data models with individual fixed effects ⋮ IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large ⋮ The weak instrument problem of the system GMM estimator in dynamic panel data models ⋮ Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large ⋮ Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes ⋮ Bias in dynamic panel models under time series misspecification ⋮ Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions ⋮ Indirect inference for dynamic panel models ⋮ The limited information maximum likelihood approach to dynamic panel structural equation models ⋮ A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS ⋮ An equality test across nonparametric regressions ⋮ Bootstrap procedures in a spatial-temporal model ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ Fixed effects estimation of structural parameters and marginal effects in panel probit models ⋮ A note on transformed likelihood approach in linear dynamic panel models ⋮ Penalized quantile regression for dynamic panel data ⋮ Inference on trending panel data ⋮ Panel models with interactive effects ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models ⋮ Testing a linear dynamic panel data model against nonlinear alternatives ⋮ Individual and time effects in nonlinear panel models with large \(N\), \(T\) ⋮ GMM estimation of social interaction models with centrality ⋮ The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: some additional results ⋮ Quantile regression for dynamic panel data with fixed effects ⋮ Some properties of the LIML estimator in a dynamic panel structural equation ⋮ Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration ⋮ Dynamic spatial panel data models with common shocks ⋮ Fixed-effects dynamic spatial panel data models and impulse response analysis ⋮ ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING ⋮ Impact of regulatory trade barriers and controls of the movement of capital and people on international trade of selected central, eastern and southeastern European economies ⋮ Mean group tests for stationarity in heterogeneous panels ⋮ Bootstrap-based bias correction for dynamic panels ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects ⋮ X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION ⋮ THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS ⋮ Higher order mean squared error of generalized method of moments estimators for nonlinear models ⋮ Robust likelihood estimation of dynamic panel data models ⋮ Variable selection in panel models with breaks ⋮ A maximum likelihood method for the incidental parameter problem ⋮ Estimation and model selection in general spatial dynamic panel data models ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ Double filter instrumental variable estimation of panel data models with weakly exogenous variables ⋮ ML and GMM with concentrated instruments in the static panel data model ⋮ Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing ⋮ Sequential and efficient GMM estimation of dynamic short panel data models ⋮ LIML in the static linear panel data model ⋮ First difference or forward demeaning: Implications for the method of moments estimators ⋮ NONLINEAR PANEL DATA MODELS WITH DISTRIBUTION-FREE CORRELATED RANDOM EFFECTS ⋮ Nonstationary panel data analysis: an overview of some recent developments

This page was built for publication: The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators