Improved GMM estimation of panel VAR models (Q1659117)

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scientific article

Language	Label	Description	Also known as
English	Improved GMM estimation of panel VAR models	scientific article

Statements

scholarly article

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Improved GMM estimation of panel VAR models (English)

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Kazuhiko Hayakawa

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Computational Statistics and Data Analysis

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publication date

15 August 2018

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zbMATH Keywords

dynamic panel data models

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GMM

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VAR model

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Granger causality

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impulse response analysis

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.csda.2015.05.004

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Panel data models with multiple time-varying individual effects

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

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Estimation of Dynamic Models with Error Components

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Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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Another look at the instrumental variable estimation of error-components models

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ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION

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Initial conditions and moment restrictions in dynamic panel data models

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The weak instrument problem of the system GMM estimator in dynamic panel data models

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Asymptotic distributions of impulse response functions in short panel vector autoregressions

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Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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Small sample bias properties of the system GMM estimator in dynamic panel data models

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On the effect of mean-nonstationarity in dynamic panel data models

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A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(<i>p</i>) MODELS WHEN BOTH<i>N</i>AND<i>T</i>ARE LARGE

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Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

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Estimating Vector Autoregressions with Panel Data

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Subset selection for vector autoregressive processes using Lasso

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A note on bias-corrected estimation in dynamic panel data models

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Impulse response analysis in nonlinear multivariate models

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ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA

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Generalized impulse response analysis in linear multivariate models

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Linear Regression Limit Theory for Nonstationary Panel Data

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Recursive mean adjustment in time-series inferences

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A finite sample correction for the variance of linear efficient two-step GMM estimators

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CSDA.2015.05.004

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Sitelinks

Mathematics(1 entry)

mardi Publication:1659117

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